Answer: negative.

## Explanation **Contango** occurs when futures prices are higher than spot prices, creating an upward-sloping forward curve. **Roll return** is the return generated from rolling futures contracts forward. For a **long position** in contango: - You sell the expiring contract at a lower price - You buy the new contract at a higher price - This creates a **negative roll return** because you're "selling low and buying high" **Mathematically:** Roll return = (Price of expiring contract - Price of new contract) / Price of expiring contract In contango, this will be negative. Therefore, the roll return on a long position in contango will be **negative**, corresponding to option A.

Author: LeetQuiz Editorial Team