In commodity futures market pricing, when the convenience yield is higher than the cost of carry, the roll yield is positive for:
- long futures.
- short futures.
- both long and short futures.
Can someone explain to me why when the futures market is in backwardation, the futures price then generally rolls up (moves up along the forward curve) to the spot price curve as the expiry date of the futures contract approaches, which results in a positive roll yield for the long positions.