I am trying to get the direction/terminology correct in futures calendar trading. Let's say I have two calendar futures contract where the prices are 100 and 102 reflecting the front and back contracts. Let's assume there's no optionality so futures = forwards.
The roll would be 100 - 102 = -2
Let's say I run a scenario where in the back contract, one of the bonds increases to 110 and the other one increases to 105.
In this case, my roll would be 100 - 105 = -5. If I expect this to happen, would I sell the roll or buy the roll and is this switch worth -3?