Futures price = Spot price x (1 - rt) – d. rt = the risk-free rate, like the government treasury; ... By using this formula, you will arrive at the fair value price of the future.

Identifying pricing discrepancies between the fair value and market price allows traders to execute arbitrage strategies, ensuring the futures price does not deviate significantly from its fair value.

While futures closely track the underlying asset (with a delta near 1), they do not lose value as options do with time; instead, their price converges to the spot price at expiry.