Glossary
Futures roll
Closing an expiring futures contract and opening one in a later month to keep a position, with the price gap as a cost or gain.
On this page
A futures roll is the act of closing a position in a contract that is about to expire and opening the same position in a later-dated contract. Because every futures contract has an expiration date, anyone who wants continuous exposure, from a commodity fund to a hedger, has to roll periodically. The difference between the two contracts' prices can quietly add to or subtract from returns over time.
How it works
The trader sells the near-month contract and buys the next one, often in a single spread order to lock in the price difference. Volume and open interest migrate to the next contract over a few days, the "roll period", which for quarterly stock index futures typically happens about a week before expiry. Physically delivered commodities such as crude oil are rolled earlier, before the delivery window starts.
Why it matters
- Commodity ETFs and index products that hold futures experience roll returns that can make their performance diverge sharply from the spot price shown on the news. In April 2020, steep contango in oil futures caused large losses for funds holding near-month contracts.
- Continuous charts of futures stitch contracts together and may be adjusted for roll gaps; adjusted and unadjusted charts can show different highs and lows.
- Costs. Each roll pays a spread and fees, so frequent rolls add up.