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.
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.
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.