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.