Contract roll
Closing a futures position in the expiring month and opening it in the next one. The cost depends on the shape of the term structure and on commissions.
Definition
A futures contract has an expiry date — it cannot be “extended”. A roll means closing the position in the old month and opening it in the new one, usually inside the liquidity window (when the new month takes over the volume, one to two weeks before expiry). The price difference between months (the calendar spread) determines whether the roll costs you money or pays you.
Example
You hold an index contract and roll it before expiry: close the old month + open the new one. In contango you pay the difference; in backwardation you may recover it. You record the cost of the roll in your journal as a fraction of 1R.
Anti-example / common mistake
Putting the roll off until the last day, when liquidity in the old month is drying up and the spread and slippage widen. Rolling inside the liquidity window is a procedure, not a “last-minute” decision.