I would like to get familiar with the carry trade using the futures and i would like to have your help for understanding if I am doing something wrong. Can you try follow this example with me? Let's try to implement the carry trade between EUR and CHF spot price: EUR.CHF 1.2077 Future prices of NYBOT EURO IN SWISS FRANC (RZ@NYBOT) 17/12/2012 1.208 Z2 18/03/2013 1.207 H3 17/06/2013 1.206 M3 16/09/2013 1.205 U3 Multiplayer 125000 Solution using the spot price: 1) convert 103,502.525 EUR in 125.000 CHF using the spot price 2) long U3 (the math is easier) Case A wait settlement time (spot price 1.23) A.1) U3 ---> +3,125 chf value in euro: 2,540.65 A.2) convert 125.000 chf in 101,626.016 EUR A.3) profit = A.1+A.2 - Initial capital = 664.141 EUR Case B wait settlement time (spot price 1.20) B.1) U3 ---> -625.00 chf value in euro: -520.83 B.2) convert 125.000 chf in 104,166.667 EUR B.3) profit = A.1+A.2 - Initial capital = 143.311 EUR Case C wait settlement time (spot price 1.10) C.1) U3 ---> -13,125.00 chf value in euro: -11,931.818 C.2) convert 125.000 chf in 113,636.364 EUR C.3) profit = A.1+A.2 - Initial capital = -1,797.979 EUR It looks like that i am making something wrong here ... can you help me figure out where the problem is?