Futures Contract Roll Cost Calculator — Near Month to Far Month Rollover
Quarterly futures expiration forces a choice — roll or close — and rolling costs real money you may not have factored into your trade plan. Enter near-month and far-month prices to see the roll spread in ticks and total dollar cost (contango) or credit (backwardation) for your full position. Know the true cost of maintaining your position through expiration before every rollover week.
Updated · Reviewed by Foysal Mostafa
Results
Total Roll Cost
-$750.00
Per Contract
-$750.00
Spread (ticks)
60.0
Market Structure
Contango
Cost to roll — Far: 5015 vs Near: 5000
Why Use the Roll Cost Calculator?
Rolling a futures position costs real money you might not have factored into your trade plan. Knowing the exact roll cost in ticks and dollars before executing lets you decide whether to roll, close early, or adjust your profit target to account for the additional expense of maintaining the position through expiration.
Formula Used
Roll Cost = (Far Month Price − Near Month Price) ÷ Tick Size × Tick Value × ContractsWorked Example
3 ES contracts to roll. Near month: 5,010.00. Far month: 5,023.75. Roll spread = 13.75 points = 55 ticks. ES tick value = $12.50. Roll cost per contract = 55 × $12.50 = $687.50. Total for 3 contracts = $2,062.50. This is a contango market — you pay a premium to roll forward. Your position must earn back $2,062.50 in the far month before returning to profit from the original trade.
How to Use the Roll Cost Calculator — Step by Step
- 1
Select your futures contract
Choose the contract you are currently holding and need to roll (ES, NQ, MES, MNQ, CL, GC, etc.).
- 2
Enter the near month price
Input the current price of the expiring contract (the one you are currently holding). This is typically the front-month price.
- 3
Enter the far month price
Input the price of the next quarterly contract you are rolling into. Check your broker or CME for the current far month quote.
- 4
Enter number of contracts
Enter how many contracts you are rolling. Roll cost scales linearly with the number of contracts.
- 5
View total roll cost
The calculator shows the roll spread in ticks and points, total dollar cost or credit per contract, and total roll cost for your full position. A positive number is a cost (contango); negative is a credit (backwardation).
What Your Roll Cost Calculator Results Mean
Roll Spread (Ticks and Points)
The price difference between the far month and near month contract, expressed in ticks and points. Positive = contango (rolling costs money); negative = backwardation (rolling earns a credit).
Roll Cost per Contract
The dollar cost to roll one contract from the near month to the far month. Multiply by your number of contracts for the total roll expense.
Contango / Backwardation
Indicates the market structure. Contango (far month higher) is the norm for equity index futures and means rolling is a cost. Backwardation (far month lower) gives a roll credit, common in commodities with supply constraints.
Roll Cost Calculator — Frequently Asked Questions
Q.What is a futures contract roll?
A futures roll is closing your position in the expiring (near month) contract and simultaneously opening the same position in the next (far month) contract. This is done to maintain continuous exposure without taking delivery. Most traders roll 1–2 weeks before the contract expiration date. ES, NQ, and most CME equity index futures expire in March, June, September, and December.
Q.When should I roll my futures contracts?
Roll your futures position when the near-month contract approaches expiration — typically the Thursday before the third Friday of the expiration month (when CME equity index futures expire). Many traders roll 5–10 trading days before expiration when the near-month contract still has good liquidity. Volume in the near month typically drops significantly in the final week.
Q.What is the typical roll cost for ES futures?
The ES roll spread (far month minus near month) is typically 10–30 ticks ($125–$375 per contract) in a normal market. The spread reflects the cost of carry — interest rates minus dividends. In high-interest-rate environments, the roll cost is higher. You can check the current ES roll spread by looking at the difference between ESH (March), ESM (June), ESU (September), or ESZ (December) contracts.
Q.What is contango vs backwardation in futures?
Contango: far month price is higher than near month (common in equity index and energy futures). Rolling in contango costs money — you sell the near month cheaper and buy the far month more expensive. Backwardation: far month price is lower than near month (common in commodities with supply constraints). Rolling in backwardation gives you a credit — you sell near month higher and buy far month cheaper.
Q.Does rolling futures trigger taxes?
In the US, futures contracts held at year-end are marked to market under Section 1256 rules — 60% long-term / 40% short-term capital gains regardless of holding period. Rolling a futures contract is technically closing one position and opening another, which may be a taxable event. Consult a tax professional who specializes in futures trading for your specific situation.
About the Author
Forex Trader & Software Developer · Founder, TradeCalc
Active forex trader since 2019, specializing in risk management and systematic position sizing. Built TradeCalc to replace manual spreadsheets used in live trading. Every calculator is cross-verified against broker platforms before publishing.
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