Roll yield

Roll yield is the gain or loss an investor holding futures earns from replacing an expiring contract with the next one, arising from the shape of the forward curve.

An investor who wants continuous commodity exposure through futures cannot simply hold one contract forever, because every contract eventually reaches expiry. Instead, they sell the expiring contract and buy a further-dated one, an action called rolling. Roll yield is the gain or loss produced by that trade, driven entirely by the shape of the forward curve at the moment of the roll.

In backwardation, the further-dated contract is cheaper than the one being sold, so rolling captures a gain, a positive roll yield, even if the spot price never moves. In contango, the further-dated contract costs more, producing a loss on every roll. Over long periods, roll yield can matter as much as the change in spot price itself for anyone holding a rolling futures position, such as a commodity index fund.