The market’s average opinion about what the spot price of an asset will be at a specific time in the future. This is usually based on the returns investors require on an investment in the asset underlying a futures contract. In turn, these returns depend on the systematic risk of an investment. When the return from the underlying asset is uncorrelated with the broader stock market, the futures price can be viewed as an unbiased estimate of the expected future spot price. If the return is positively correlated with the broader market, the asset underlying the futures contract has positive systematic risk, and the futures price is lower than the expected future spot price. This situation is known as normal backwardation.

However, if the return from the asset is negatively correlated with the broader market, then the asset underlying the futures contract has negative systematic risk, and the futures price is higher than the expected future spot price. This situation is known as contango.