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.
It doesn't smell "right". You have to consider storage and borrowing costs for the physical gold. On volatile days, you have much bigger profit potential on the outright instead of doing calendar spreads.
Possibly you might investigate turbocharging this idea using futures options rather than outright futures.