Roll return on futures contract

Contango (backwardation) implies a loss (gain) on the roll return—assuming a static forward curve in the meantime—because the futures price "chases" the spot price (toward a zone of convergence). I used today's crude oil futures contracts to illustrate (June 21, 2010)

• #education
• #futures
• #forward
• #roll
• #return
• #oil
• #commodity
• #backwardation
• #contango