Skip to main content

What Is the “Roll Yield” and How Is It Calculated?

The roll yield is the profit or loss generated from rolling a futures position from one expiring contract to a new contract with a later expiration date. It is calculated as the difference between the price of the new contract and the price of the expiring contract.

A positive roll yield occurs in backwardation; a negative roll yield occurs in contango.

How Can a Trader “Roll” a Covered Call to Increase the Maximum Profit Potential?
What Is the Difference between ‘Roll Yield’ and ‘Carry Cost’ in Futures?
How Does the Relationship between Delta and the Probability of an Option Expiring In-the-Money Affect Trading Strategy?
Why Is ‘Rolling’ a Futures or Option Position a Common Practice in Long-Term Hedging?