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.

Analti_Calte

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

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.

lcai

They want the %.

Roll return = Change in futures price - spot

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