Sometimes I run into futures traders that act as though futures leverage is “free.” Aside from the risk of using leverage there is no free lunch and it isn’t ever free. Below I have taken the relationship between the front and second month E-Mini futures and converted it to an annual interest rate. The data source is a bit sporadic, but you can quickly see it follows the pattern of the fed funds interest rate. There is likely a similar relationship with spot and the front contract but because of the data feed, the second and front are much easier to graph.
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