Q-66. The spot price of oil is $106, the one-month futures price is $102 and the 12-month futures price is $98. If the spot price and the oil futures curve do not shift at all during the entire one-year period, while the oil producer employs the stack-and-roll hedge (e.g., at the end of the one year, the spot price is unchanged at $106), what will be the net performance of rolling the hedge forward without regard to the underlying future sale of spot oil (ignoring transaction costs)?

A. Losses due to the roll yield

B. Approximately breakeven (no gain or loss)

C. Gains due to the roll yield

D. Not enough information