Actually, you have this one wrong Grant. The carry must be based on when the transfer of ownership takes place. Delivery and Expiry are not the same date, at least not in all markets. It's the former that matters.
The settlement price is taken from the price at expiry. If settlement is 5 days after expiry, for example, then I suppose you could add 5 days opportunity cost (loss).
The settlement price is taken from the price at expiry. If settlement is 5 days after expiry, for example, then I suppose you could add 5 days opportunity cost (loss).
But to the settlement price (to use your term), that doesn't really have anything to do with anything for the simple fact that the contract was entered into at a prior point in time at presumably a different price. That contract price is the one use for the delivery transaction, not the final (settlement) price at expiry. The settlement price would only come into play for a cash settlement market where the trader pays/receives the difference between the entry and expiry prices.
