Hi there,I need to structure this pay off with derivatives: I need to get a cash flow equal to the value of the greatest month Futures contract price over the next 2 years, and need to know the up front costs of this optionality.What I mean by that is from now till this time two years from now, what will the highest traded futures contract go for? ie if we have a forwards curve today, which contract is the highest point (maybe there is a kink and june is a relative max), then if we look at the curve tomorrow, maybe june has dropped and july is higher as a relative max. If we do this for the next two years, building curves on each other to create a surface, what will the highest point be?I need this as the last step of being able to value a floating storage oil play.Thanks

I am not expert on this topic but may be this will be helpful: paper

Thanks guys

QuoteOriginally posted by: ncutler1990Hi there,I need to structure this pay off with derivatives: I need to get a cash flow equal to the value of the greatest month Futures contract price over the next 2 years, and need to know the up front costs of this optionality.What I mean by that is from now till this time two years from now, what will the highest traded futures contract go for? ie if we have a forwards curve today, which contract is the highest point (maybe there is a kink and june is a relative max), then if we look at the curve tomorrow, maybe june has dropped and july is higher as a relative max. If we do this for the next two years, building curves on each other to create a surface, what will the highest point be?I need this as the last step of being able to value a floating storage oil play.ThanksDo you mean the highest price a series of oil futures e.g. max (jan16, feb,16, .... dec17) measured from now till dec17?Depending on how fancy/accurate you wanted to be with rollover of contracts, price up with the explicit formula for a lookback option with low strike?