I'm not talking about absolute return, I'm talking about (P2/P1)-1. For example, if yesterday crude closed at 76 and today it closed at 78 (I'm making up the numbers), then the return is (78/76)-1=0.0263 or 2.63%. However, instead of the above you may wanna use the natural log to calculate daily returns, i.e. ln(P2/P1), which in the above example equates to 2.6%. Once you have these returns calculated for all contracts and for each day then you run the correlation on these returns and not on the actual prices.