roll yield original, return, period, amount, price

Dapper425

when they ask for roll return or roll yield do they want a dollar amount or %?

If %, what do we use as the denominator? The original futures price for the given time period?

Thanks.

lcai

They want the %.

Roll return = Change in futures price - spot

the denominator is the previous forward rate from what I remember.

former

it depends. CFAI asks for cents sometimes but they give the question in cents. when they wanted percentages, they gave the percentages in the question.

Analti_Calte

its actually change in futures minus CHANGE in spot, not just spot.