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 contract month to the next. It is calculated as the difference between the price of the expiring contract and the price of the new, longer-dated contract.
A positive roll yield occurs in backwardation (near price > far price), and a negative roll yield occurs in contango (near price < far price). It represents the cost or gain of maintaining a continuous futures exposure.
Glossar
Roll Yield
Contango ⎊ Roll yield, within cryptocurrency derivatives, fundamentally represents the return generated from the difference between the prices of expiring and subsequent contracts in a futures or options market exhibiting contango.
Positive Roll Yield
Yield ⎊ Positive Roll Yield is the profit generated when a futures position is rolled forward from a near-term contract to a longer-term contract in a market exhibiting backwardation.
Roll
Mechanism ⎊ A roll, within cryptocurrency derivatives, signifies the systematic closing of a near-term contract and simultaneous opening of a further-dated contract with the same underlying asset, effectively extending exposure.
Negative Roll Yield
Yield ⎊ Negative Roll Yield is the cost incurred when a futures position is rolled forward from a near-term contract to a longer-term contract in a market exhibiting contango.