To begin with when we rollover to the next quarters future contract (lets use ES mini for example) the premium of the ES mini is usually about 10 points above cash. My question then is, what if in a totally hypothetical scenario you purchased the ES mini at 10 points premium to cash (aka the first day of the new rollover contract) and held it to the last day of that quarter, and the cash index showed no change in price over the entire quarter would you then still lose money due to a time value decay on the premium as the future index fell to parity with the cash index? I am very curious if someone could help me out here. The reason I have never really concernced myself with this is that I usually daytrade them so I never worried about a decay in price. (If one even exists, aka my question.) Thanks in advance.