I've never personally put on a contango spread or taken delivery of anything. Does any futures broker allow such arrangements and can it be done? ----------------- Without putting any effort into it, I just found a contango spread which accomplishes this: BUY Aug '06 Gold at 616.0 with intention to take delivery. SELL Oct '06 Gold at 622.6 with intention to deliver. You net 1.0714% in two months, which is about 6.5% annualized. Not much over the 'normal' risk-free rate, but keep in mind that's only the contango spread available today for gold. Keep watching spot vs. forward gold, and you'll find many momentary opportunities for a risk-free rate north of 8% annualized. Gold and other commodities or indexes can probably achieve risk risk-free rate north of 10% annualized on volatile days.