Futures Rollover Cost Calculator

How the futures rollover differential is calculated

Rolling a futures position generally means closing an expiring or nearby contract and opening a later contract. The CFTC defines rollover in those terms. This page compares the two entered contract prices at one roll decision point and keeps position direction explicit.

The audited example enters a nearby price of 100, a deferred price of 102, a multiplier of 1,000, two long contracts, USD 5 of roll transaction cost per contract and USD 10 of other costs. The entered curve gap is +2 points, which is labeled contango-like because the deferred price is higher.

Under the long convention, the roll adjustment is 100 − 102 = −2 points. Across two contracts, the gross contract-value equivalent is −2 × 1,000 × 2 = −USD 4,000. Total entered costs are USD 20, leaving a net equivalent of −USD 4,020. A short direction reverses the price-differential sign before costs.

CME’s roll-yield research warns that a roll adjustment by itself does not represent an instrument return. General-period roll yield can also contain the return of basis as the expiring contract converges toward spot. This page therefore labels its output a contract-value-equivalent price differential, not roll yield, total return or realized profit and loss.

Contango-like and backwardation-like are descriptions of the two entered prices only. They do not establish the full curve, explain why it has that shape, predict convergence or indicate whether a long or short position should be held.

Futures are marked to market and normally do not exchange the full contract notional when a roll is entered. Multiplying points by a contract multiplier provides a comparable economic value scale; it must not be mistaken for the exact cash movement, account balance change or final roll execution result.

A careful futures rollover workflow

1. Verify the exact nearby and deferred contracts, quote scale, multiplier and intended roll date.
2. Check last-trading, first-notice, delivery and broker cut-off dates before an expiring contract becomes operationally constrained.
3. Capture contemporaneous executable bid and ask information rather than relying only on settlement or last prices.
4. Enter the economic position direction, whole contracts and complete expected costs for both legs.
5. Keep the one-date price differential separate from basis return, total roll yield and the position’s original-entry P/L.
6. Review liquidity, slippage, margin, taxes and alternative contract months before any execution decision.

Assumptions and limits

• No live near or deferred quote, spread, order book, contract multiplier, account or fill is connected.
• Only one entered pair of contract prices is analyzed; the full futures curve is not reconstructed.
• The curve label compares two prices and does not forecast convergence, return or future curve shape.
• The result excludes original entry price, mark-to-market history, margin cash flows, basis return and tax treatment.
• Entered costs can omit bid-ask spread, slippage, exchange, clearing, broker, market-data or financing charges.
• The output is not realized P/L, total roll yield, an execution instruction or a long/short recommendation.

Where to verify carry and rollover inputs

Start with the exchange specification and the exact delivery month. Confirm the contract unit or multiplier, quotation scale, currency, settlement method, last-trading date, first-notice date where applicable, delivery terms and whether a quoted index, cash asset or deliverable basket is the correct spot reference.

For carry analysis, document the rate source, rate date, compounding convention, day count, collateral assumptions and timing of dividends, coupons, storage, insurance or other benefits and costs. Do not mix annual percentage rates with aggregate price points or copy an equity-index convention into commodities, FX or rates without reconciling the product model.

For roll analysis, capture the nearby and deferred contracts at the same time and distinguish settlement, last and executable bid/ask prices. Confirm whether the entered commission covers closing and opening legs, then add expected spread, slippage, exchange, clearing, broker and any other relevant charges.

Sources and methodology

• CME Group — Calculating Fair Value — Supports a cash-plus-simple-financing-minus-dividends fair-value illustration and the distinction between theoretical and actual futures values.
• CME Group — Credit Futures Analytics User Guide — Supports futures notional, premium or discount, compound fair value, implied financing and nearby roll fair-value concepts while demonstrating that conventions can vary.
• CME Group — Deconstructing Futures Returns: The Role of Roll Yield — Supports near-minus-deferred roll adjustment and the warning that roll adjustment alone is not an instrument return.
• CFTC — Futures Glossary — Defines basis, contango, backwardation and rollover.
• CFTC — Funds Trading in Bitcoin Futures — Explains how a contango roll can require selling the expiring contract below the deferred purchase price.
• CME Group — What Is Equity Index Basis? — Connects basis with financing costs and expected dividends in equity-index futures.

The operational contract is Entered Futures Carry & Roll Analysis version 1.0.0. Independent fixtures and tests cover forward and inverse simple-carry arithmetic, 360- and 365-day bases, signed financing rates, income greater than costs, long and short rollover directions, contango-like, backwardation-like and flat entered curves, zero and negative futures prices, transaction costs and invalid inputs. Sources support definitions and method boundaries; they do not endorse the site, verify user inputs or recommend a trade.