Explanation:
In a backwardated (inverted) futures market, futures prices are below spot prices and the curve generally slopes downward with maturity. As a long futures position rolls from a lower-priced deferred contract to a higher-priced nearer contract, the roll yield is positive.
So the correct answer is B.
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Q-147.3 Normal versus inverted futures market
Which of the following is TRUE about a normal/inverted futures market?
A
A futures market is either normal or inverted but cannot be a mixture
B
The roll return (roll yield) is profitable to a long futures position during an inverted (backwardation) futures market
C
A falling futures price necessarily implies backwardation
D
Gold must always be a normal market (assuming positive interest rates) because it has storage cost but does not pay a dividend