Case analysis: the Hormuz convenience yield

On 2 Apr 2026 Dated Brent was about $141.37 while front futures were about $110–120. (a) With $r = 4\%$ and $u = 3\%$, compute the implied annualised convenience yield if the two-month futures price was $118. Repeat for a one-month price of $120. (b) Explain the result with Proposition 10.4. Why did the IEA release not close the gap? (c) Why would an Indian refiner buying Dubai-linked cargoes care about the change in PPAC's basket weights during this period?