Educational content. This article explains how futures rollover and contango can change the price a CFD shows. It does not constitute investment advice or a recommendation. CFD trading carries significant risk of loss and may not be suitable for all investors.
An oil futures roll is the switch from a contract that is about to expire to the next month's contract. When the next contract costs more (contango), a CFD quoted from futures can show a price jump on roll day without any real market move. Whether you feel that jump depends on how the provider builds the quote.
This article shows the mechanism, the arithmetic of roll cost, and what to check on your own symbol.
What Is an Oil Futures Roll?
An oil futures roll closes exposure to the contract nearing expiry and opens the same exposure in the next delivery month. It exists because every crude futures contract has a last trading day, and after it the contract either settles physically or is liquidated through an exchange procedure.
The reference case is the NYMEX WTI Light Sweet Crude contract. According to the CME Group contract specifications for NYMEX Light Sweet Crude Oil futures, trading terminates on the third business day before the 25th calendar day of the month preceding the contract month, and the cutoff moves earlier when the 25th is not a business day. A contract for November delivery therefore stops trading in October. The contract is 1,000 barrels with delivery at Cushing, Oklahoma, so one futures contract equals ten of the 100-barrel lots in the Vanto feed.
Three consequences follow:
- Oil has no single continuous futures price. It has a series of contracts, each with its own price.
- Any instrument that follows "the oil price" through time must decide, once a month, which contract it follows.
- The price of the expiring contract and the price of the next contract are almost never equal. The gap between them is the roll gap.
The gap is the subject of the rest of this article. For how two different crude benchmarks relate, see why Brent trades at a premium to WTI; that is a different spread from the one between two months of the same benchmark.
What Is Contango and Why Does It Create a Roll Gap?
Contango is a futures curve where later delivery months are priced above nearer ones. The opposite, backwardation, is a curve where later months are priced below nearer ones. The roll gap is the signed difference between the next contract and the expiring one: positive in contango, negative in backwardation.
Contango appears when holding the physical commodity costs money. Storage, insurance and financing all add to the price of delivering oil later rather than now, so a later contract can trade above an earlier one. When storage is scarce or demand is weak, the premium for later months widens. When prompt supply is tight, nearer months can trade above later ones and the curve flips to backwardation. Spread trading strategy covers how traders use the curve shape itself; this article covers what the shape does to a position that does not want to trade it.
| Curve shape | Next contract vs expiring | Roll gap sign | Effect of rolling a long position |
|---|---|---|---|
| Contango | Higher | Positive | Re-entry at a higher price: a cost |
| Flat | Equal | Zero | No cost, no gain |
| Backwardation | Lower | Negative | Re-entry at a lower price: a gain |
The mirror image applies to a short position: contango favours the short at the roll, and backwardation penalises it. The table is arithmetic about price levels, not a forecast of which shape comes next. A curve can change shape within weeks.
How Does a Roll Show Up in a CFD Price?
It shows up in one of three ways, depending on how the CFD quote is constructed. The provider chooses the method; the symbol specification and the provider's documentation are the only places to confirm it.
1. Unadjusted continuous quote. The quote follows the expiring contract until roll day, then follows the next one. The chart shows a step equal to the roll gap. In contango the step is up. A long position shows an apparent gain and a short position an apparent loss, and the reverse in backwardation.
2. Adjusted quote. The provider shifts the old series by the gap, or books a cash adjustment on open positions, so that open profit and loss does not change on roll day. The price level shown can then differ from the exchange price of the front contract by the accumulated adjustments.
3. Spot-referenced quote with financing. The quote is built to track a spot-like price instead of one futures month, and the cost of carry is charged or credited through overnight financing. There is no visible step on the chart, but the carry still exists; it arrives as swap.
Each method moves the same economic cost to a different place. Under method 1 the cost is realised as a price step that is easy to mistake for a market move. Under method 2 it is netted in the adjustment. Under method 3 it accrues daily.
None of the three removes the contango. It changes where you see it, and a trader who does not know which method applies can misread a roll step as a trend. For position-level examples see how to trade WTI crude oil and Brent oil trading strategy.
Worked Example: What a 1.00 Roll Gap Is Worth
A roll gap of 1.00 on a 100-barrel CFD lot is worth USD 100 per lot, because the contract size is 100 barrels. The numbers below are illustrative, not market data.
Single roll, unadjusted quote. The expiring contract trades at 80.00 and the next at 81.00 (contango of 1.00, or 1.25% of 80.00). The quote switches contracts on roll day.
- Quote before the switch: 80.00
- Quote after the switch: 81.00
- Step: 81.00 - 80.00 = +1.00
- On 1 lot (100 barrels): 1.00 x 100 = USD 100 of apparent gain for a long, USD 100 of apparent loss for a short
If the market has not moved, a long position holder would be wrong to treat the USD 100 as profit. When the next contract later converges toward spot, the premium can fade, and the position gives it back. The step moved the quote; it did not create value.
Repeated rolls, a long position held through a persistent contango. A futures-based long that rolls every month pays the gap each time it rolls, while spot does not move.
- Spot flat at 80.00, curve holds 1.00 above for the next month
- Cost per monthly roll: 1.00
- Cost over 12 rolls: 12 x 1.00 = 12.00
- As a share of the price: 12.00 / 80.00 = 15%
- On 1 lot: 12.00 x 100 = USD 1,200 per year
This is the roll yield effect: a long position loses the roll cost when the curve stays in contango and spot does not rise to meet it. The same effect is described for volatility products in how to trade the VIX, where contango is the normal state of the curve. For oil the size and even the sign of the gap vary by period and are not fixed.
Backwardation reverses the sign. With the next contract at 79.00 against 80.00, the step is -1.00, a long position shows an apparent loss of USD 100 per lot on the quote, and carries a positive roll yield if the curve persists.
What Happens When the Front Contract Goes Wrong at Expiry?
A contract near expiry can trade on conditions that have little to do with the oil market in general, because the remaining holders must take or make delivery. The extreme case is 20 April 2020. According to the CFTC's interim staff report (23 November 2020), the NYMEX May 2020 WTI contract fell from 17.73 to settle at -37.63 per barrel on 20 April 2020, the day before it expired. The CFTC noted that this was the first time the contract had traded at a negative price since it was listed 37 years earlier.
The CFTC staff report lists an oversupplied market, an unprecedented fall in demand during COVID-19 and concerns about storage availability, centred on the Cushing delivery point, among the factors, and it did not perform a root-cause analysis. A quote that followed the expiring contract through that day would have shown its settlement price.
This is not a roll problem alone, but it shows why providers differ in how they treat the last days before expiry:
- Some roll the quote several days before the exchange's last trading day, to avoid following a contract that has become illiquid.
- Some roll on the last trading day.
- Some quote a spot-like price built to avoid following a single expiring month.
A rule for when the quote leaves the expiring contract is part of the symbol's behaviour, and it matters most when the curve is steep. Nothing in this article implies such an event is likely; it is a boundary case that explains why the rule exists.
What Does the Vanto Feed Show for Oil and Gas?
The Vanto feed lists three energy symbols, USOil, UKOIL and NGas. The feed fields below come from the Vanto feed snapshot, 10 October 2026.
| Symbol | Feed description | Class | Contract size | Minimum lot | Lot step | Triple swap day |
|---|---|---|---|---|---|---|
| USOil | US Crude Oil Spot | energies | 100 | 0.1 | 0.1 | Friday |
| UKOIL | UK Crude Spot | energies | 100 | 0.1 | 0.1 | Friday |
| NGas | Natural gas spot | energies | 100 | 1 | 1 | Friday |
Source: Vanto feed snapshot, 10 October 2026. Contract size is in barrels for the oil symbols and in the gas unit of the specification for NGas.
Three points follow from the table.
The descriptions say "Spot". The feed does not state which futures month a quote is derived from, and this article does not claim to know. The description tells you to read the symbol specification in MT5 before assuming that a chart step on a given day is a market move. What is a CFD explains why a CFD tracks a reference price without a delivery obligation, which is also why rolling is the provider's task and not yours.
Position size is on a 100-unit base. One lot of USOil or UKOIL is 100 barrels, so a 1.00 move in the quoted price is USD 100 per lot. With a 0.1 lot step the smallest oil ticket is 10 barrels, and a 1.00 gap is USD 10 on it. What is contract size in trading gives the formula.
Margin is set by the energies class. Energies carry a maximum leverage of 1:100, so one lot needs 1% of its notional as margin. Using the snapshot prices, the notional of one USOil lot is 90.921 x 100 = USD 9,092.10, and the margin is about USD 90.92. For UKOIL the figures are 102.811 x 100 = USD 10,281.10 and about USD 102.81. Margin call is at 100% and stop-out at 50% on all accounts, so an adverse step of the size shown above takes a position closer to those levels. What is margin in trading covers the calculation, and what is the stop-out level explains the 50% rule. Leverage amplifies losses as well as gains.
Swap Is Not the Roll
Overnight swap and the roll gap are different charges, and the sign of the swap should not be read as the roll cost. In the same snapshot, the long side of both crude symbols has a positive swap sign and the short side a negative one, while NGas shows the opposite pattern. Triple swap falls on Friday for all three, so a position held through Friday is charged or credited three days of financing at once. This is a statement about sign and day only. The swap on a CFD is set by the provider's financing policy, can change, and under method 3 above is partly where carry is expressed. Under methods 1 and 2 it is separate from the roll step. What is swap in trading and what is triple swap day explain the mechanics, and why natural gas is more volatile than oil compares the two energy markets.
What About Futures-Style Symbols in MT5?
A symbol name can carry a contract-month label or a suffix next to the root. Such a suffix is a naming choice made by the server, not a standard, so it tells you nothing until you open the symbol specification.
For any energy symbol, three fields in the MT5 specification answer most of the roll questions:
| Specification field | What it tells you |
|---|---|
| Expiration | The date the symbol's trading ends, which MQL5 documentation describes as usually used for futures |
| Description | Whether the name implies a spot-like or a month-specific quote |
| Swap calculation model and rates | How overnight financing is applied (MQL5 lists points, money, interest and reopen models), and the triple swap day |
A symbol with a stated expiration date stops trading on that date. A position left open to that date is handled according to the server's rules, and a trader who does not know those rules can find the position gone or moved. A symbol with no expiration date set is not tied to one trading end date in its specification, and the specification alone does not say how the provider handles the underlying contracts, so ask the provider.
When the Roll Rules Break
Contango does not always produce a cost, and a roll does not always produce a step. Four cases break the simple picture.
- The curve changes shape. A persistent contango can move to backwardation within weeks, and the sign of the roll gap changes. A cost assumed from last quarter may not apply.
- Spot rises to meet the curve. The 15% annual figure above assumed spot stays flat. If spot rises by the amount the curve implied, the roll cost is offset by the price gain. If spot falls, the loss is larger.
- Adjustment hides the step. Under method 2, a chart can look smooth while the price level drifts away from the exchange price. Comparing a CFD chart to an exchange chart on a date after several rolls can show a difference that is bookkeeping, not an error.
- Expiry distortions. As the April 2020 case shows, the contract about to expire can trade apart from the next month. A quote that follows it too long inherits that distortion.
A fifth point applies to risk, not pricing. A roll step lands on every open position at once, including pending stop-loss and take-profit levels. A stop placed 0.50 above the quote can be crossed by a 1.00 step. This is gap behaviour; what is slippage in trading explains how a fill can differ from the requested level.
Roll Cost Versus Other Costs: Summary Table
| Item | When it is paid | How it is visible | Depends on |
|---|---|---|---|
| Spread | At entry and exit | In the bid-ask difference | Liquidity and time of day |
| Overnight swap | Each rollover; triple on Friday for energies | As a daily credit or debit | Provider financing policy |
| Roll gap | Once a month, on contract change | As a price step, an adjustment, or carry in swap | Curve shape and quote method |
| Contract-size effect | Every position | In dollars per price unit: 100 for one lot | Specification |
The first three are costs that can be negative. A trader holding for hours meets the spread only. A trader holding for weeks meets all three, and the roll gap is the one that is easiest to miss because it can be mistaken for market movement.
Frequently Asked Questions
Is the roll cost the same as the swap?
No. The roll gap is the price difference between two futures months, realised once per contract change. Swap is the daily financing charge or credit the provider applies to open positions. Under some quote methods the carry of the futures curve is expressed through swap instead of a price step, but the two are not the same line on the account.
Does contango always make a long CFD lose money?
No. Contango lowers the roll yield of a long futures position, but the position still gains if spot rises by more than the roll cost. The 15% figure in the worked example holds only when spot stays flat and the curve stays 1.00 above it. Both can change.
Why does the oil chart show a sudden step on one day?
A step with no news and no volume change can be a roll. If the quote follows futures, the chart switches from the expiring contract to the next one and the difference appears as a step. Checking the date against the contract's last trading day, for WTI the third business day before the 25th calendar day of the previous month, is a quick test.
How do I know which contract my CFD follows?
Read the symbol specification in MT5 and the provider's contract notes. The Vanto feed lists USOil and UKOIL as "Spot" without naming a futures month. If the documentation does not say, ask the provider before assuming the chart is a single contract.
What does a suffix on a symbol name mean?
A suffix on a symbol name is a naming convention chosen by the server. It is not an industry standard, so the only reliable check is the symbol specification: look for an expiration date and the swap calculation model.
Can I avoid the roll by holding a CFD instead of a futures contract?
No. The CFD removes delivery and the manual switching, but the cost of the curve still exists and is borne by the trader. It moves to where the provider puts it: a step, an adjustment or swap. The provider does the rolling; the economics remain.
Calculate the Numbers Before You Trade
Before holding an oil position across a contract change, work out the value of a 1.00 gap on your lot size and the margin the position uses. The trading calculator computes margin, pip value and position size for each symbol from the specification. Run it for USOil and UKOIL, then add the roll-step figure above as a stress case on your stop level.
Risk warning. Trading securities, futures, options, and contracts for differences are complex financial instruments that require knowledge and understanding. Prices can fluctuate significantly and securities may become valueless. Investors may incur losses exceeding the potential for profits. Trading on margin can result in losses greater than the amount initially deposited. Past performance is not necessarily a guide to future performance. The information in this article is for educational purposes only and does not constitute investment advice, a recommendation, or an offer to buy or sell any financial instrument. Consider whether CFD trading is appropriate for your circumstances and seek independent advice if necessary.