Roll Yield
Definition
What is Roll Yield?
The return created when an expiring futures contractA standardised exchange-traded agreement to buy or sell an underlying asset at a future date. is replaced with a later contract at a different price.
Example in practice
How This Looks in Practice
BackwardationA futures-curve condition in which longer-dated prices are below the spot price or nearer contracts. can produce positive roll yield for a long futures investorA person or organisation that commits capital with the expectation of a financial return..
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Related Terms
Derivative
A contract whose value depends on an underlying asset, rate, index, or event.
DerivativesUnderlying Asset
The asset, rate, index, or reference on which a derivative's value is based.
DerivativesNotional Amount
The reference amount used to calculate derivative payments, which may exceed the cash initially exchanged.
Derivatives StrategiesCovered Call
A strategy that owns the underlying asset and sells call options against it.