Roll yield is when you make money selling your futures near to expiry and roll them into longer-term futures. In backwardation, the spot prices and near term future prices are higher than the far term ones. Another way to look at it is to say as futures contracts become “closer to now” they will increase in value because your contract is always moving “right to left” as time passes and what was once a far away futures contract slowly approaches the spot market time (starting on the cheaper right side of the backwardation curve and slowly becoming nearer and nearer term, approaching the spot when you get near expiry). Therefore by buying futures far down the right side of the backwardation curve and holding them from inception to near expiry, you’ve bought lower (they begin farther away at a “lower price” and you then sell them higher when you later roll them near expiry (they are now close to the higher spot rate part of the curve and have gained in value relative to when you bought them).
So you can profit by selling them and rolling into longer term futures, in a backwardated market. You bought low and sold high. Positive roll yield.
It’s the opposite for contango. Roll yield is negative because as your contract moves “right to left” on the futures price curve with the passage of time, your contract value is decreasing. Because farther away futures are more valuable than nearer-term ones or the spot rate. And with time your futures contract is getting nearer term and approaching spot. When you roll it to buy new longer term futures, you are “selling low to buy high” and have negative roll yield.
If convenience yield is high, it means spot prices are higher than longer term future prices. The market is in backwardation.
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