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Futures Calendar Spread (Roll Trade)

Holding a "continuous" futures position means selling the expiring contract and buying the next one, over and over. Whether that habit pays you or costs you depends entirely on the shape of the curve.

Drag the curve, then run the rolls

Drag the far-month point up or down to shape the term structure into contango or backwardation. Then run a series of monthly rolls and watch whether that shape pays you to roll forward or charges you for it.

FLAT CURVE
Term structure (M1–M6) Flat reference
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Roll yield per roll (today's shape)
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Rolls completed
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Cumulative roll P&L
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Avg. per roll (run)
Roll ledger

No rolls run yet. Shape the curve, then press "Run 6 monthly rolls."

How it works

  1. A futures contract expires. A "continuous" position doesn't, on paper, so someone has to keep rolling it. Before the front-month contract expires, the holder sells it and buys the next month out, over and over, to maintain exposure without ever taking delivery.
  2. In contango, the far months are priced above the near months. Rolling forward means selling low and buying high every single time, a structural cost that has nothing to do with whether the underlying commodity's price goes up or down.
  3. In backwardation, it's the reverse. Near months are priced above far months, so rolling forward means selling high and buying low, a structural credit collected purely from the shape of the curve.
  4. Roll yield is a separate return stream from spot price direction. A trader can be right about where a commodity's price is headed and still lose money holding a "continuous" position through a steep contango, because the roll cost quietly eats the position alive between price checks.

Where this breaks

The curve shape isn't fixed, it moves with supply and storage

A market can flip from contango to backwardation (or back) in response to a single supply shock, a storage capacity issue, or a shift in near-term demand, and it can happen faster than most position holders adjust for. A calendar spread or a roll-dependent position built around today's curve shape can find itself paying roll costs it never priced in a few months later, once conditions that briefly moved the curve in the trader's favor reverse. The curve is a snapshot, not a guarantee.

Keep going

Related strategies and tools

Calendar spreads trade the shape of a curve. Here's the multi-market futures strategy built around trend instead, and a checklist for deciding whether to roll or close a position before expiration.

Managed-Futures-Style Trend Followinga different futures-specific mechanic, built around trend instead of the curve Roll vs. Close Checklistdecide whether to roll a real position or let it go before expiration Overnight Margin Hold Checklistcheck margin requirements before holding a futures position through the roll Browse All Strategies →
Risk & liability disclaimer: This page is an educational tool only, not financial, investment, or tax advice, and not a recommendation to take any specific trade. The simulation above uses simplified, randomized, or illustrative data, not live market data or backtested historical results. Futures trading carries a real risk of loss, including loss of principal, and losses can exceed the amount deposited due to leverage.