How to Journal a Futures Roll: A Worksheet

Why a roll needs two separate records#

A futures roll creates two records, not one blended position: a transaction that reduces or closes exposure in the expiring month, and a separate transaction that opens exposure in a later month. The later contract has its own symbol, fills, and opening basis. Keeping those records distinct lets you review the old contract’s result without treating the price difference between contract months as profit or loss from one continuous contract.

This is a recordkeeping method, not a recommendation about when or how to roll. The worksheet below is for documenting transactions after they occur. Before entering contract details, verify the current exchange specifications for the exact product and contract month—including contract size, tick size, and tick value. These details determine how price movements translate into dollars and can vary by product. Calculating Futures Contract Profit or Loss - CME Group

One terminology point matters: a journal’s entry-to-exit calculation can show the result attributed to a closed trade, while a futures account’s cash activity may reflect daily settlement and variation. CME describes futures mark-to-market calculations that include settlement-based changes; consequently, do not add a journal price-difference calculation to cash activity as though they were independent gains. Reconcile the journal’s labels and totals to your broker’s records. Money Calculations for CME-cleared Futures and Optionshttps://www.cmegroup.com/education/courses/introduction-to-futures/mark-to-market

The roll-reconciliation worksheet#

Start one roll record with a unique ID, then preserve the details of each fill. If an order fills in parts, use a separate row for each fill or attach the fill-level export and make the summary traceable to it. Use the time zone shown by the broker or exchange record and label it; an unlabeled timestamp can make later reconciliation ambiguous.

Complete both columns from the actual fills and account records, not from the intended order quantity. Keep fee categories separate when the statement provides them. Broker confirmations and statements are useful reconciliation records; the CFTC describes FCM customer statements and transaction confirmations, but does not prescribe a personal journal worksheet. Futures Commission Merchants (FCMs) | CFTC

Work through the record in this order:

1. Identify the roll. Enter a unique roll ID, account, product, roll date, and the date convention and time zone used by your records. List the confirmations, fill export, and statement you will reconcile.
2. Record every old-month fill. Enter the exact contract month and symbol, side, timestamp, quantity, price, contract-value input, and costs. Note the position before and after each fill.
3. Calculate the old-month closed quantity and remaining position. Compare the actual ending old-month position with the starting position plus all signed fills. Do not assume the old position was fully closed.
4. Calculate the old-month journal attribution using the entry lots and matching convention you normally document. State that convention, the closed quantity, gross attribution, close-related fees, and net attribution. If the position was built through several entries or partly closed earlier, retain enough lot detail to show how the closed quantity was matched.
5. Record every new-month opening fill as its own contract record. Calculate the new-month resulting position and, for multiple opening fills, record the fill-weighted average price: sum of (fill price × quantity) divided by total opening quantity for same-direction fills. Keep the individual rows as the audit trail.
6. Reconcile costs and account activity. Compare commissions and other charges with confirmations or statements, and compare the broker-reported result or variation activity with the journal attribution. Record a difference as unresolved until you can explain it; do not force the numbers to match by blending contract months.
7. Save the completed worksheet with supporting records. Note any corrections, missing documents, or unresolved discrepancies, and retain the original fill detail.

Calculate the old result; preserve the new basis#

For a simple closed lot, the gross price-based attribution is:

Gross attribution = signed price movement × contract value per price unit × closed contracts.

For a long lot, the signed price movement is exit price minus entry price; for a short lot, it is entry price minus exit price. If you use tick value instead, convert the price movement into the correct number of ticks first. Verify the contract’s applicable multiplier or tick value and units rather than assuming one product’s convention applies to another. Calculating Futures Contract Profit or Loss - CME Group

Illustrative arithmetic only: suppose a trader’s documented convention treats one old-month long contract as opened at 100.00 and closed at 100.25, and the verified contract value is $20 per price point. The gross price-based attribution is (100.25 − 100.00) × $20 × 1 = $5 before costs. This is not a market quote or a typical result. The new-month opening fill is recorded separately at its own fill price; it is not substituted into the old-month calculation. The broker’s daily variation and account charges must still be reconciled rather than added to that attribution without checking what each figure represents. Money Calculations for CME-cleared Futures and OptionsCalculating Futures Contract Profit or Loss - CME Grouphttps://www.cmegroup.com/education/courses/introduction-to-futures/mark-to-market

For multiple same-direction opening fills, calculate a weighted average only across those new-month fills: sum(price × quantity) ÷ total quantity. Do not average the old-month close with new-month opening prices. They are different contracts, and the difference between their quoted prices is not, by itself, the old contract’s trade result.

Before closing the journal entry, check:

• Do the fill quantities and prices match the confirmations or fill export?
• Does each contract’s position before and after the fills add up, including any residual old-month position?
• Does the new-month position reflect actual fills, rather than an intended quantity?
• Are timestamps labeled with their source time zone, and are fees recorded without omission or duplication?
• Is the old-month journal attribution kept distinct from new-month opening basis and from broker-reported variation or cash activity?
• Can every summary figure be traced to a fill, calculation convention, or account record?

A few shortcuts make a roll harder to audit later:

• Combining old and new contract prices into one blended entry price. This obscures the old contract’s close and gives the new contract a misleading basis.
• Recording the order quantity instead of the executed fills. Partial fills, rejected quantity, or a residual old-month position can make the resulting position different from the plan.
• Leaving out contract value or units. A price difference is not a dollar result until it is converted using the correct contract-specific value. Calculating Futures Contract Profit or Loss - CME Group
• Subtracting fees in more than one place. Keep gross attribution and costs visible, then state whether the displayed net figure already includes them.
• Treating a journal’s price-based result as additional cash profit on top of daily variation. Mark-to-market activity is part of futures account cash-flow treatment; reconcile the specific broker figures before totaling. Money Calculations for CME-cleared Futures and Optionshttps://www.cmegroup.com/education/courses/introduction-to-futures/mark-to-market
• Calling a new-month opening price a continuation of the old-month basis. Maintain separate contract-month records, even when the trader’s broader thesis or position intent continues.

A simple rule for the final journal#

A reliable journal entry should let another reader trace the old-month close to its fills and calculation convention, and the new-month position to its own opening fills and basis. Keep fees, timestamps, quantities, and supporting records visible. Reconcile the result to broker statements without counting settlement-related cash activity twice. Those principles make the roll reviewable without turning two contract months into one artificial trade.

Frequently asked questions#

How should I record partial fills during a roll?

Record each partial fill separately, including its timestamp, side, quantity, price, fees, and position change. You can summarize the fills for review, but retain the fill-level export or confirmation so the summary can be checked.

Should I average the old close price with the new opening price?

Keep the old-month close and new-month opening fills in separate contract records. Calculate the old-month attribution from its documented entry and closing fills; establish the new-month basis from its own opening fills.

Why might my journal result differ from broker cash activity?

Not necessarily. A journal’s entry-to-exit attribution and broker cash activity may use different reporting conventions, and futures are marked to market. Label each figure and reconcile it to the broker statement rather than adding it to variation activity without checking for double-counting. Money Calculations for CME-cleared Futures and Optionshttps://www.cmegroup.com/education/courses/introduction-to-futures/mark-to-market

Which contract value should I use in the worksheet?

Use the exact product and contract month’s verified contract size, tick size, and tick value or multiplier. These inputs affect dollar P&L calculations, so confirm current exchange specifications rather than relying on a remembered value. Calculating Futures Contract Profit or Loss - CME Group

Is there a required futures-roll journal format?

The worksheet is an educational recordkeeping template, not a required personal format. Use confirmations and account statements to check transaction details and charges; the CFTC describes FCM customer statements and confirmations, but does not set this journal template. Futures Commission Merchants (FCMs) | CFTC

Turn the worksheet into a repeatable post-trade review with a structured trading journal.

Sources#

• Futures Commission Merchants (FCMs) | CFTC — cftc.gov
• Money Calculations for CME-cleared Futures and Options — cmegroup.com
• Calculating Futures Contract Profit or Loss - CME Group — cmegroup.com
• https://www.cmegroup.com/articles/faqs/faq-spot-quoted-futures.html — cmegroup.com
• https://www.cmegroup.com/education/courses/introduction-to-base-metals/cash-flow-in-metals-futures-vs-forwards — cmegroup.com
• https://www.cmegroup.com/education/files/bank-asset-liability-management-swaps-and-swap-futures.pdf — cmegroup.com
• https://www.cmegroup.com/education/articles-and-reports/money-calculations-for-futures-and-options — cmegroup.com
• https://www.cmegroup.com/education/courses/introduction-to-futures/mark-to-market — cmegroup.com
• https://www.cftc.gov/sites/default/files/idc/groups/public/%40swaps/documents/dfsubmission/dfsubmission3_080410-nfa.pdf — cftc.gov
• https://www.cmegroup.com/trading/interest-rates/files/TreasuryFuturesPriceRoundingConventions_Mar_24_Final.pdf — cmegroup.com
• https://www.cmegroup.com/market-regulation/files/14-585_2.pdf — cmegroup.com
• https://www.cmegroup.com/why-trade-futures — cmegroup.com
• https://www.cmegroup.com/solutions/risk-management/financial-safeguards.html — cmegroup.com
• https://www.cmegroup.com/education/courses/introduction-to-futures/about-contract-notional-value — cmegroup.com
• https://www.cmegroup.com/trading/about-settlements.html — cmegroup.com
• https://www.cmegroup.com/content/dam/cmegroup/education/files/a-traders-guide-to-futures.pdf — cmegroup.com