I rewrote these two questions with numbers and edits. Pls explain like I'm 5. I don't understand any of the comments that just raise more questions! What the heck's "a predictable and arbitrageable discontinuity each month, it's even worse than a random commodity pricing risk."
Why don't banks issue ETNs with indices that track the spot price of commodities (I'm specifically thinking of oil), and reset the price each month based on the front month's futures contract?
Why are most ETNs tethered to a rolling futures contract that is subject to roll yield?