Fellas, I couldn’t understand why roll yield is +ve when futures>spot and -ve when futures
You have it backwards. Roll yield is positive when the market is in backwardation. It’s negative when the market is in contango.
pretty sure you have this the wrong way round. Roll yield is the return you get when futures prices converge to spot prices as the end of the contract nears (similar to how bond prices are “pulled to par”). If the futures price is below the spot, this will be positive (because the futures price is “pulled up”). If the spot price is below the futures price, the roll yield will be negative.
So I guess the way understand this: Futures price at the expiration of contract is equal to the spot rate. So if contract expires in 3 months and spot>future then future price has steadily increased with time leading to +ve returns (roll yield) and if spot