What Is the ‘Roll Yield’ in Futures Trading?

Roll yield is the profit or loss generated from closing an expiring futures contract and opening a new contract for a later expiration date (the process of 'rolling' the position). It is determined by the difference between the expiring contract's price and the new contract's price.

A positive roll yield occurs in backwardation (near price > far price), and a negative roll yield occurs in contango (far price > near price). It is a key factor for long-term futures strategies.