The compound die includes a working surface with a coarse end for forming coarse threads and a fine end for forming fine threads. The coarse end has coarse crests and coarse roots thereon angled at a coarse thread pitch angle for the screw to be formed. The fine end has fine crests and fine roots formed into a working surface thereof at an angle matching a pitch angle for the fine threads of the screw to be formed. A transition is provided between the coarse end and fine end where each of the coarse roots is aligned with one of the fine roots. A screw such as a bolt is roll formed by first being rolled between a standard die parallel with the compound die and a course end of the compound die, followed by rolling between the standard die and the fine end of the compound die.