标题: Roll Yield [打印本页] 作者: anish 时间: 2011-7-13 13:47 标题: Roll Yield
Why is the following statement wrong?
"The difference between the futures price and the spot price is known as the roll yield."
Thanks.作者: ninja1024 时间: 2011-7-13 13:47
sorry...basis, not basis yield
Roll Yield is the return when you are rolling your contract into a new one in backwardation
Edited 2 time(s). Last edit at Tuesday, May 25, 2010 at 07:54PM by athanas.作者: hassan 时间: 2011-7-13 13:47
Well roll yield is just when you roll contract into a new one regardless of backwardation or contango.
Roll yield is positive for backwardation and negative for contango.作者: yospaghetti 时间: 2011-7-13 13:47
To add to job71188 effectively roll yield is difference between old futures and new futures price
i.e. futures(old contract) - futures(new contract)= roll yeild and it is +ve for backwardation and negative for contango作者: llxx 时间: 2011-7-13 13:47
Can someone explain why it's positive when the contact is in backwardation?作者: KungFuPanda 时间: 2011-7-13 13:47
The underlying concept is that the futures prices will converge to the spot rate. When you are rolling mature contracts that are in backwardation forward, those contracts will converge to the spot price (as they are currently below it), thus being positive or increasing towards the spot rate.
