Gold Futures vs Spot Arbitrage Analysis - February 2026

Based on my comprehensive analysis of current market data, I can provide detailed insights on the arbitrage opportunities and supply/demand implications from the NY gold futures market structure.

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Market	Price	Reference
Spot Gold (XAUUSD)	$4,646 - $4,706/oz	[1][2]
NY Gold Futures (Feb '26)	$4,622.50/oz	[1]
Basis (Futures - Spot)	-$23.84 (-0.51%)	[0]

The NY gold futures you referenced at $4,720/oz likely represented an intraday high, with the market having corrected to a

to spot prices by end of trading [1][2].

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The current market structure presents a

:

Factor	Value	Interpretation
Current Basis	-$23.84/oz	Futures trading below spot
Theoretical Carry Cost (16 days)	~$4.48/oz	Based on 4.2% risk-free rate - 2% storage
Arbitrage “Band”	$2.24 - $8.96	Profitable zone net of transaction costs

The current $23.84 discount exceeds the theoretical carry cost by approximately 5x, but this apparent arbitrage is illusory because:

• Physical gold borrowing costs
  for short selling are extremely high
• Storage and insurance
  (0.5-1% annually) must be factored
• Delivery risks
  and margin requirements reduce net returns
• Execution risk
  in rapidly moving gold markets [0]

Strategy	Potential Return	Risk Level
GLD Creation/Redemption	~0.15-0.35%	Low-Medium
Spot-ETF-Futures Triangular	~0.25-0.50%	Medium

The SPDR Gold Shares (GLD) premium/discount to NAV typically offers more reliable arbitrage than futures-spot, though profits remain thin after costs [0].

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Contract	Days to Expiry	Futures Price	Premium to Spot
Feb '26	16	$4,622.50	-0.51%
Apr '76	77	$4,667.95	+0.47%
Jun '26	138	$4,685.15	+0.84%
Aug '26	201	$4,702.97	+1.22%
Dec '26	315	$4,735.40	+1.92%

1. Near-Term Backwardation
   : The Feb '26 contract trading at a
   0.51% discount
   to spot is atypical for gold and signals:
   • Adequate physical supply for near-term delivery
   • Lower urgency among market participants to take delivery
   • Possible profit-taking after the significant rally from ~$2,650

2. Normal Contango for Longer Maturities
   : The curve resumes contango beyond April, with:
   • Annualized contango to Dec '26: 2.22%
   • This aligns with the risk-free rate (4.2%) minus storage costs (2%)
   • Reflects a
     balanced supply/demand equilibrium
     [0]

3. Curve Slope Interpretation
   :
   • The 1.82% total slope from Feb to Dec indicates gradual appreciation expectations
   • No supply shock or shortage is being priced into the market
   • Carry trades remain viable but not exceptionally profitable [0]

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Indicator	Signal	Implication
Near-term backwardation	Adequate supply	Physical gold flow is sufficient for current demand
Moderate contango	Balanced carry market	No extreme supply/demand imbalances
Flat term structure	Price stability	Market in consolidation phase

• Consolidation Mode
  : The tight basis ($24) suggests the market is pausing after a significant rally from ~$2,650/oz
• Support Zones
  : Technical analysis indicates support near
  $4,500-$4,575
• Resistance Levels
  : Key resistance at
  $4,701-$4,760
• Bearish Short-Term Bias
  : Multiple indicators (MACD, RSI at 27) suggest near-term correction pressure [2]

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Strategy	Viability	Rationale
Futures-Spot Arbitrage	Low	Transaction costs exceed theoretical edge
ETF Arbitrage (GLD)	Moderate	Narrower spreads but more reliable
Calendar Spreads	Moderate	Feb-Apr spread offers some value
Physical Gold Carry	Low	Storage costs (~1%) exceed current carry

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The NY gold futures at $4,720/oz (intraday high) versus spot at ~$4,646-4,706/oz represents a

rather than a substantive arbitrage opportunity. The futures curve’s slight near-term backwardation, transitioning to normal contango, indicates:

1. Adequate near-term physical supply
   with no delivery bottlenecks
2. Balanced market equilibrium
   with gradual appreciation expectations
3. Consolidation phase
   following the significant price rally
4. Low arbitrage profitability
   after accounting for carry costs and execution risks

The market structure suggests investors should focus on directional trades and portfolio hedging rather than convergence arbitrage, with key support at $4,575 and resistance at $5,205-$5,975 [2][0].

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[0] Ginlix API Data - Market and financial analysis

[1] Barchart - Gold Feb '26 Futures Contract Specifications (https://www.barchart.com/futures/quotes/GCG26/profile)

[2] LiteFinance - Gold (XAU/USD) Price Forecast for February 2026 (https://www.litefinance.org/blog/analysts-opinions/gold-price-prediction-forecast/daily-and-weekly/)

[3] Forex24.pro - Gold Weekly Forecast February 2-6, 2026 (https://forex24.pro/gold-price-forecast/gold-weekly-forecast-xauusd-february-2-6-2026/)