I live in a state with a state income tax (NJ), but which does not allow section 1256 carrybacks. Say in 2014 I made $200K in futures. Then in 2015 I lost $150K in futures. For my 2015 federal return I can file a gain/loss of zero, and amend my 2014 return including the $150K in losses, lowering my gain to $50K and netting a large refund. However, for my state taxes there is no concept of a carryback, so I cannot carry the loss back and amend my 2014 return. However, since now my federal return has no gain or loss (since the loss was carried back to a prior year) I've lost that loss on a state level. The solution would be to file a different return for state than federal but I don't know if that's legal. I will be seeking out an accountant who knows about trading (good luck finding one) but if anyone has dealt with this before it would be helpful if they could weigh in.