About this calculator
This calculator is for education only and does not constitute investment advice. A futures position cannot simply be held: when the front contract expires you sell it and buy the next one, and the price gap between the two is a gain or a cost on every roll. If the front contract is dearer than the next — backwardation — you sell high and buy low, and the roll pays you. If the next is dearer — contango — you sell low and buy high, and the roll charges you.
Past returns do not guarantee future results. Roll yield is not total return: a commodity fund can earn a positive roll yield and still lose money if the spot price falls, or pay a negative roll yield and still profit if the spot price rises enough. This page prices the roll alone, so the curve effect is visible instead of being buried inside a total return.
How to use it
- Enter the front-month contract price — the one you hold.
- Enter the next-month contract price — the one you roll into.
- Enter the days between the two contracts for the annualization.
- Read the per-roll yield, then the annualized figure. A positive number means backwardation is paying you; a negative number means contango is charging you. The table shows how the yield moves as the next-month price changes.
The formula
The ratio form matters: selling one front contract and buying the next leaves you with front / next contracts' worth of exposure, so the gain per roll is the ratio minus one, not the dollar spread divided by the front price. Annualization simply scales one roll to a year at the same gap — it assumes the curve shape repeats every roll, which real curves do not do, so treat the annualized figure as a run-rate, not a forecast. Commissions, bid-ask spreads and margin funding are excluded.
Worked example
Front-month price $100, next-month $98, 30 days between contracts: the market is in backwardation, the spread is $2.00, and the roll yield per roll is 100 / 98 − 1 = 2.04%. Annualized at the same gap every roll, that is 2.04% × 365 / 30 = 24.83% a year. Flip the curve to contango — front $100, next $102 — and the per-roll yield is 100 / 102 − 1 = −1.96%, or −23.86% annualized: rolling costs you almost 2% a month before any spot-price move. Same $2 spread, opposite sign, and the sign is the whole story.
Sources: Roll yield per roll = front price / next price − 1; annualized = per-roll yield × 365 / days between contracts. Prices are user-entered; no live futures data is fetched. Contract size, commissions and margin are excluded. Last updated: October 2026.
Frequently asked questions
Is roll yield the same as total return?
No. Total futures return has three parts: the spot-price move, the roll yield, and the return on collateral posted as margin. This calculator shows only the middle part. A fund in steep contango can bleed roll yield for years while the commodity itself goes sideways.
Why annualize by 365 / days?
To compare curves with different roll intervals on one scale — a monthly roll and a quarterly roll are not comparable per-roll. The annualized figure assumes the same gap at every roll; real curves steepen and flatten, so it is a run-rate illustration, not a prediction.
Why use the ratio instead of the dollar spread?
Because the roll is a reinvestment: proceeds from selling the front contract buy the next one. If the next contract is cheaper you end up with more exposure per dollar rolled, and the ratio front / next captures exactly that. The dollar spread alone does not scale with the price level.
What does a zero roll yield mean?
The front and next prices are equal — a flat curve. Rolling neither pays nor charges you, and the futures return is then just the spot move plus collateral return. Flat curves are common around contract expiries and seasonal turning points.
What formula does this roll yield calculator use?
Roll yield per roll = front price / next price − 1; annualized roll yield = per-roll yield × 365 / days between contracts The ratio form matters: selling one front contract and buying the next leaves you with front / next contracts' worth of exposure, so the gain per roll is the ratio minus one, not the dollar spread divided by the front price. Annualization simply scales one roll to a year at the same gap — it assumes the curve shape repeats every roll, which real curves do not do, so treat the annualized figure as a run-rate, not a forecast. Commissions, bid-ask spreads and margin funding are excluded. The worked example on this page applies the formula step by step with real numbers, so you can verify the result by hand.