Answer: –3.09%

## Explanation To calculate the net roll return for February, we need to consider the price changes and the rollover process: **Given:** - Position: March futures contract that rolls over 50% into June contract on 1 March - 50% of the position is rolled from March to June contract **Step 1: Calculate the return on the March contract position** - Price on 1 February: 485 - Price on 1 March: 501 - Return on March contract = (501 - 485) / 485 = 16 / 485 = 3.30% **Step 2: Calculate the return on the rolled portion** - 50% of the position is rolled from March to June - When rolling, we sell March at 501 and buy June at 515 - Roll return = (Sell price - Buy price) / Original price - Roll return = (501 - 515) / 485 = -14 / 485 = -2.89% **Step 3: Calculate the net roll return** - 50% of position remains in March: 50% × 3.30% = 1.65% - 50% of position is rolled: 50% × (-2.89%) = -1.445% - Net roll return = 1.65% + (-1.445%) = 0.205% However, this calculation seems to give a positive result, which doesn't match the expected negative return. Let's recalculate using the proper futures roll yield formula: **Correct Calculation:** The roll return is calculated as the percentage change from selling the near contract and buying the far contract: Roll Return = [(Price of near contract on roll date) - (Price of far contract on roll date)] / (Price of near contract at initiation) = (501 - 515) / 485 = -14 / 485 = -2.8866% Since only 50% of the position is rolled, the net roll return is: Net Roll Return = 50% × (-2.8866%) = -1.4433% This is closest to option B (-1.40%), but let me verify the calculation one more time. **Alternative Calculation:** Total position value change: - Unrolled portion (50%): (501 - 485)/485 = 3.30% - Rolled portion (50%): (515 - 501)/485 = 2.89% Wait, this gives positive results. The correct approach is: When rolling futures, we calculate the roll return as: Roll Return = (Near contract price - Far contract price) / Near contract price On roll date (1 March): Roll Return = (501 - 515) / 501 = -14 / 501 = -2.794% Since 50% is rolled: Net Roll Return = 50% × (-2.794%) = -1.397% This is closest to **option B (-1.40%)**. **Therefore, the correct answer is B.**

Author: LeetQuiz Editorial Team