Futures Rollover Calculator
Price the cost of rolling a futures position to the next contract month, and what it annualises to.
A dated futures contract expires. Holding an exposure past that date means closing the expiring month and opening the next one, and the two almost never trade at the same price — which is the difference this futures rollover calculator prices.
Formula: roll = (back price - front price) x point value x contracts
Your figures
Sets the point value and tick size. Choose 'Custom' to enter them yourself.
The contract you hold, which is expiring.
The contract you are rolling into.
Gap between the two contract months, for annualising.
Charged on both legs of the roll.
Contract currency to your account currency. 1 when they match. Use the rate that applied on the day for a past trade.
Only used when Contract is set to Custom.
Only used when Contract is set to Custom.
Results
Cost to roll
-US$2,000.00
contango · +20.0000 points between months
- BasisThe back month is dearer — contango. A long pays to roll.
- +20.0000 pts · +0.4000%
- Roll cash flow before commission
- -US$2,000.00
- Commission on both legs
- US$0.00
- Annualised roll yieldThe drag or benefit if this roll repeats all year.
- -1.604%
- Cost over a year at this rate
- -US$8,021.98
- Rolls per year
- 4.01
- Position value
- US$500,000.00
What this means
Rolling 2 contracts of ES — E-mini S&P 500 from the front month to the back costs US$2,000.00, because the market is in contango and a long sells the cheaper month to buy the dearer one. Repeated every 91 days that is -1.604% a year against the position's value — which is why a long-held futures exposure can drift away from the spot price it tracks.
- Contract prices and expiry dates come from the exchange and move constantly. Take both from live quotes at the time you intend to roll.
- Excludes the spread on each leg, which is charged twice on a roll and can rival the basis on illiquid months.
- Assumes a one-for-one roll. Rolling into a different contract size changes the exposure as well as the cost.
Cost to roll: -US$2,000.00
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Continue with these figures
About the Futures Rollover calculation
That gap is the basis, and this futures basis calculator turns it into cash rather than leaving it in points. It is a real cost or credit rather than an accounting artefact: when the further month is dearer — contango — a long sells the cheap contract and buys the expensive one, and pays the difference. In backwardation the reverse holds.
Individually a roll looks minor. Annualised across four rolls a year the roll yield is often the largest single cost of holding a futures position, and it is the main reason a long-held commodity exposure can lose money while the spot price goes nowhere.
Futures Rollover formula
basis = back month price − front month price
long roll = −basis × point value × contracts
short roll = +basis × point value × contracts
commission = per contract × contracts × 2 (both legs)
rolls per year = 365 ÷ days between expiries
annualised yield = net roll ÷ notional × 100 × rolls per year- contango
- The further month is dearer. A long pays to roll.
- backwardation
- The further month is cheaper. A long is paid to roll.
- basis
- The price difference between the two contract months.
The sign follows the transaction. A long holds the front month, so rolling means selling it and buying the back month. In contango that is selling low and buying high, which costs money. A short does the opposite and is paid.
Commission is charged on both legs, which is easy to forget when comparing roll costs across brokers. On a narrow basis the commission can be a material share of the total.
Annualising is where the number becomes decision-grade. A roll costing 0.4% of notional every quarter is about 1.6% a year — a drag that has to be overcome by the price move before the position makes anything, and one that does not appear on any trade confirmation.
Futures Rollover: a worked example
Two long E-mini S&P contracts with the front month at 5,000 and the back at 5,020, rolling every 91 days.
- Basis5,020 − 5,000 = 20 points
- Market shapeContango — the back month is dearer
- Roll cash flow−20 × $50 × 2 = −$2,000
- Position value5,000 × $50 × 2 = $500,000
- Basis as a percentage0.40%
- Rolls per year365 ÷ 91 = 4.01
- Annualised roll yield−1.60%
$2,000 to roll once. Repeated quarterly that is a 1.60% annual drag on the position — before any commission, and before the market moves at all.
How to use the Futures Rollover calculator
- Take both contract prices from live quotes at the time you intend to roll. A roll cost calculator is only as good as the two prices you give it, and the basis moves constantly and widens near expiry.
- Set the direction. A long and a short have exactly opposite roll economics.
- Enter the days between the two expiries so the annualised figure is right — quarterly contracts are about 91 days apart, monthly about 30.
- Add commission per contract; it is charged on both legs.
- Read the annualised roll yield rather than the one-off cost. That is the figure that determines whether holding the exposure through futures makes sense at all.
Limitations of the Futures Rollover calculator
Every calculation makes assumptions. These are the ones that matter here.
- Excludes the spread on each leg, which is charged twice on a roll and can rival the basis itself on illiquid contract months.
- Assumes a one-for-one roll. Rolling into a different contract size changes the exposure as well as the cost.
- The basis is not stable. It typically widens as expiry approaches and can move sharply on supply news in physical commodities.
- Assumes the annualised rate repeats. Market structure flips between contango and backwardation, sometimes within a single quarter.
- Does not model rolling early or late, which changes both the basis and the liquidity available.
Frequently asked questions about Futures Rollover
What are contango and backwardation?
Contango is when further-dated contracts are more expensive than nearer ones — the usual shape for a market with storage costs. Backwardation is the reverse, and typically signals immediate scarcity. A long pays to roll in contango and is paid in backwardation.
Why does a futures position drift from the spot price?
Because of exactly this. Each roll in contango realises a small loss that has nothing to do with the direction of the underlying. Over a year of rolls that accumulates, which is why long-held commodity futures exposure can underperform the spot price it is meant to track.
Can I avoid the roll cost?
Not while holding futures past expiry — the choice is roll or close. What you can influence is when and how you roll, and which contract month you roll into. Rolling further out reduces frequency but usually increases the basis on each roll.
Does this apply to perpetual futures?
No. Perpetuals have no expiry and therefore never roll. Their equivalent cost is the funding rate, which does the same job of anchoring the contract to spot by a different mechanism — the funding rate calculator covers it.
Last reviewed . See our methodology and editorial policy.
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