The cost of carry for stock indicies has four variables that determine the futures price. They are spot price, risk-free rate, dividend rate, and time to maturity. The spot price and expected dividends for both contracts are the same, so there are really only two variables to consider (Rf and Div). For the March contract to trade at a discount to the June contract, the Rf rate has to be LESS than the expected dividend rate. If you say that the fair value of the June contract is less than the March contract you are implying that the Rf rate is less than the expected divs. F = Se^((Rf-div)*T) Try it in Excel. This makes sense because the dividends are a "cost" to holding the contract (since you don't get them), while the Rf is the "benefit" (since you don't pay it). If the June contract is cheaper than the March contract then the cost (dividends not received) are greater than the benefits (interest payments avoided).