How are futures contracts prices correlated?

Given the convergence between spot prices and futures prices, would this indicate a positive or negative correlation?

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January 2018

Futures and spot prices differ at initiation because of interest rate, cost of storage, convenience yield etc. and converge at maturity because of the ‘no arbitrage’ principle. The futures price is however, calculated using the spot price (at initiation and afterwards)  and therefore theoretically they should be significantly positively correlated assuming all else remains constant. (And assuming that the spot price moves from initiation to expiry of the futures contract)

In reality, the strength of the correlation between the spot and futures is impacted by market forces and other factors. For example it has been found that some commodity futures price are strongly positively correlated to the spot when there is strong contango and less correlated (but positive) when there is backwardation. (Or weak contango)

January 2018