According to calculations by Bloomberg and Saxo Bank, the implied 12-month roll-over yield for New York ultra-low sulfur diesel and London diesel is approximately 29% and 33.5%, respectively. London diesel futures have risen by about 143% this year, while the return for consecutive long positions rolled over month by month exceeds 220%. If supply recovers and the term structure flattens, the roll-over advantage will quickly shrink or even turn into a loss.
