Research/Research note · Unwrapped 02
Futures expire. Replacing them has a price.
52 US ETFs in our system hold futures contracts in place of the thing in their name: commodities, crypto, Treasuries, VIX, carbon. A contract expires, so before it does the ETF sells it and buys a later one. That is the roll.
What is being compared
The set is every ETF in our system whose Funding field reads futures, held unlevered and on a single underlying: 52 ETFs, $25.3bn, from 19 issuers, across 9 of the 22 narratives. Each ETF's Funding was read from its own filing on October 14, 2026.
The price lines compare each ETF's market price with the nearest futures contract on the same commodity, both rebased to 100. The contract price is the quoted one: it carries no roll, no interest and no fees.
Managed futures strategies, leveraged and inverse futures ETFs, ETFs that are part futures and part bank swap, and ETFs that hold stocks or bonds and add a futures leg are counted separately, under Five shapes of futures ETF.
Why hold futures at all
An ETF cannot keep barrels of oil, tanks of natural gas or a volatility index in a vault. Futures let it own the price without the storage, the insurance or the delivery. USO's own 10-Q says the cost of physically owning and storing crude could be substantial. The trade-off is that a futures contract has an end date, so the ETF has to keep replacing it.
The roll, in one month
Oil stays at $50. The ETF's contract does not.
Illustrative, from the worked example in USO's own 10-Q. The ETF buys next month's contract and holds it until it expires.
If the next contract costs $51 and oil stays at $50, the contract is worth $50 when it expires: the ETF loses $1 a barrel, about 2%, with oil unchanged. If it costs $49, the ETF gains the same. Over a year that repeats at every roll.
The market has names for the two cases. When later contracts cost more than the nearest one, the market is in contango and the roll costs. When they cost less, it is in backwardation and the roll adds. Oil was mostly in backwardation in the first half of 2026, by USO's own account; natural gas moved between the two.
How often they roll
Not every ETF rolls the same way, and the schedule is written into each ETF's prospectus.
| USO | The nearest month, moved into the next over five days, every month |
| USL | Twelve months at once, equally weighted, so each roll is a twelfth |
| VIXY | Rolls to keep a constant average time to expiry |
Three years of gas
Gas ended where it started. UNG did not.
Rebased to 100, October 13, 2023 to October 13, 2026, weekly. Hover for the date and both values.
The gap is the roll, plus the interest the ETF earns on its cash, less its fees.
Three years of oil
The roll can run the other way.
Same three years, weekly.
When the next oil contract was cheaper, the roll added.
Five shapes of futures ETF
102 ETFs in our system get their exposure through futures, $51.4bn
Each shape is its own field value in our system. Hover a bar for the ETFs in it.
The 52
The ten largest by assets. Click a column to sort, a ticker to open its page.
| ETF | Name | Holds | Narrative | Assets |
|---|
Are your clients holding the price, or holding the roll?
The label names the asset. The return depends on the contracts the ETF holds and how it replaces them.
The limits
These are past figures for two pairs of ETFs, shown side by side. They are not a ranking, a recommendation or a forecast, and they say nothing about how often the roll costs or adds across the 52. The contract price is the nearest futures contract's daily close, which no investor can hold for three years without rolling it.
Method
Set: ETF Master rows with Funding futures, Leverage +1.0 and Legs 1 on October 14, 2026, less 16 managed futures strategies and SPBC (stocks plus bitcoin futures), counted with the stacked ETFs. Funding read from each ETF's latest N-PORT, or its June 30, 2026 10-Q schedule of investments for commodity pools. Assets as of October 12, 2026. ETF prices: our daily price store, closing prices; none of the four ETFs charted paid a distribution in the period. Contract prices: daily closes of the nearest NYMEX contract. Roll schedules: USO, USL and ProShares Trust II 10-Q filings for the period ended June 30, 2026.