Roll yield
Roll yield is the part of a rolled futures position's return that comes from the curve rather than from the spot price: in contango a long position tends to lose it as each new, higher-priced contract converges down toward spot; in backwardation it tends to gain. The roll trade itself realises no profit or loss; the effect accrues while the contract is held.
Senzoukria · Glossary · Updated September 2026
Definition
A futures position held for months must be rolled from each expiring contract into the next. The return of such a position can be split into the change in spot price and a residual coming from the shape of the curve. That residual, often called roll yield, is negative when later months trade higher (contango) and positive when they trade lower (backwardation), all else being equal.
Worked example
A trader is long one 1,000-barrel crude contract that expires at 70.00 while the next month trades at 70.60. The roll sells the old contract at 70.00 and buys the new one at 70.60: no profit or loss is realised by the roll itself, only transaction costs. If spot stays at 70.00 and the new contract converges to it by expiry, the position loses 0.60 × 1,000 = $600 over the life of the new contract. That $600 is the roll yield, and it was earned day by day through mark-to-market, not paid at the roll.
Why the popular description is misleading
- Rolling does not cost the spread in cash; selling and buying at market prices is a neutral exchange of positions.
- The yield depends on how the new contract and spot actually move, which is never guaranteed.
- In a curve that changes shape, the realised roll yield can differ in sign from what the curve suggested at the roll.
Who should care
Positions held across expiries, such as hedges and long-term exposures, and anyone who builds long histories. A back-adjusted continuous series bakes the roll gaps into historical prices, so a strategy tested on it implicitly includes or excludes roll effects depending on the adjustment. An intraday order flow trader who is flat every evening does not earn or pay roll yield.
In Senzoukria
The application does not compute roll yield. Live charts and Replay always work on one named contract, and the Databento import for backtests keeps the dominant contract day by day and excludes each rollover day and the day before it, so a test on imported bars does not pretend that a price gap between two contracts was a market move.
Common mistakes
- Believing the roll trade itself books a loss equal to the spread.
- Treating a continuous chart's cumulative return as the return of a rolled position without checking its adjustment.
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Frequently asked questions
- Do I pay the calendar spread when I roll?
- No. You sell one contract and buy another at their market prices, which realises nothing beyond commissions and slippage. The spread matters afterwards, because the new contract has its own path to expiry, which is where roll yield appears.
- Does roll yield affect day traders?
- Not their daily results: a position opened and closed within a session never rolls. It matters for anyone holding across expiries and for any research that stitches contracts together.