Looking at ES June quote, which is 1130.50, I did a simple risk-free interest rate discount assuming r=0.0025 and 150 days approximately. I get 1131.68. Either everyone is thinking S&P will drop, or my calculation is wrong; more likely the latter. Comments?
You forgot to take into account the dividends. Also, futures trade at a discount to the spot because the dividend yield (currently at around 2%) is greater than the risk free rate. Doing a manual rough calculation with 150 days for Jun futures I get a discount of 8.14 pts to the spot price as of Friday's close.