A standardized maturity-and-quantity agreement whose quote changes generate margin payments as gains and losses are marked to market. A newly settled contract has zero value, while its quoted delivery price is generally nonzero. In the continuous-settlement idealization, futures pricing uses a pricing-measure martingale quote.
With continuous cash settlement and a money-market risk-neutral measure, discounted futures gains have zero drift; under the necessary true-martingale integrability, the futures quote is a martingale ending at the terminal spot price. The forward contract discount-weighted expectation is a different valuation expression.
A futures contract delivery quote below current spot for the maturity considered, or a falling futures curve across maturities. This spot comparison should be distinguished from comparisons with the future physical-measure expected spot.
A futures contract delivery quote above the current spot price for the maturity considered; a rising quoted curve across maturities is also described as contango. This compares delivery prices rather than the current zero value of a newly settled contract.

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  1. Contingent claim
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