Glossary

Roll yield

The gain or loss from replacing an expiring futures contract with a later one: negative in contango, positive in backwardation.

Comparison Rolling costs about 2.1% in contango and gains about 3.1% in backwardation. Contango roll Sell Dec at 70 Buy Mar at 71.50 ≈ −2.1% Backwardation Sell Dec at 82 Buy Mar at 79.50 ≈ +3.1%

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