Risk appetite Profit Safety Balanced · 0.50

Risk appetite 0.50 means: give up $0.50 of expected profit to make the bad case (average of the worst 5 in 100 outcomes) $1 better, per oz. 0 = only expected profit counts.

Live COMEX settlements Fri, 9 Oct 2026 via Nimble · spot 4,195.82 · T-bill 4.05% · your funding 5.55%

Recommendation · Gold cargo Dec26 (20,000 oz)

Rule · risk-adjusted

Declare M+1 · Jan27 average

Declare M+1 now. There is only a 0% chance another month overtakes it before the deadline, so keeping the choice open is not worth it.

Hedge to place today

No hedge needed: this month matches your sale

Expected deal value: +1.51 $/oz; $30,282 on the cargo
vs default (M+1): 0.00 $/oz; $0 on the cargo
vs rule (M+3, fully hedged): −6.66 $/oz; trades value for lower risk
Bad case (worst 5% avg): +1.51 $/oz; Declare by Thu, 24 Dec 2026 · 53 days

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Declare M+1 (Jan27 average) now
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20,000 oz · delivery

Review details

qp

M+1
deadline

2026-12-24
quantity

20000
unit

oz

Your hedge for M+1

Exactly what to trade, and when

No hedge needed. You buy and sell on the same month's average (Jan27), so any move in the gold price changes both sides equally and cancels out. The deal value of +1.51 $/oz is already locked.

Why M+1

You sell on the Jan27 average. Each option is valued on today's curve, with financing to payment.

Gold futures curve, COMEX settle ($/oz). Shaded: the months you can price on. Dot size: open interest.

Option	Value, hedged	vs default	Hedge
M+1 BEST Jan27 average	+1.51	default	none needed
M+2 Feb27 average	+2.67	+1.15	42 contracts
M+3 Mar27 average	+8.18	+6.66	400 contracts

M = the delivery month (Dec26), not today. M+1 means you pay the average price over the month after delivery. Values: whole deal (sale minus purchase, with financing), $/oz, after hedging costs.

What the hedge does

Deal value, $/oz · 6,000 simulated price paths

Without a hedge, a later pricing month is a bet on where the price goes before then. With the hedge, the value is fixed today.

Hedged: the value you lock in today Unhedged: middle half of outcomes Unhedged: 9 in 10 outcomes Hedged: 9 in 10 outcomes (futures vs physical gap)

M+1, hedged

+1.51 $/oz · $30,282 on the cargo

Known today, whatever the price does.

M+1, unhedged

Same as hedged: this month matches the sale

Track record

198 past cargoes, one per month, 2010–2026 · trained on 2001–2009 only · no future data at decision time

Cumulative realized P&L, $ millions

Rule: best forward month, hedgedLearned policy, hedgedDefault month, hedged12-month ML pick, unhedged

Per cargo, bps	Average	Worst	vs rule
Rule: best forward month, hedged	+35.8	−234.3	baseline
Learned policy, hedged	+34.3	−248.6	−1.4 [−2.9, −0.0]
Default month, hedged	+9.8	+2.9	−26.0 [−31.4, −19.5]
12-month ML pick, unhedged	−26.4	−1,428.3	−62.2 [−123.9, +1.5]

Brackets: 95% confidence interval. The rule is the forward curve's best month, fully hedged. The learned policy trails it here. Unhedged picks swing far more and carry much larger worst cases. So the desk uses the rule here. Trained on many contract types, the learned policy did not beat the rule for gold in the training years either: the best month is set by carry and funding, so extra decisions only add risk.

Declare M+1 · Jan27 average

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