Futures term structure is the set of futures prices for the same underlying market across different contract months observed at the same point in time. The comparison is between contracts quoted using the same quotation convention and unit—for example, dollars per barrel, cents per bushel, index points or another market-specific quotation unit—while contract maturity is the dimension that changes. Often called the futures curve, it shows how the market prices delivery or settlement at different horizons. Curve slope is only one feature of that structure: the full curve can be upward sloping, downward sloping, flat, humped, seasonally patterned, or locally inverted. A calendar spread compares two maturities; the term structure is the broader cross-section from which those intermonth relationships are drawn.
What shapes prices across maturities
In storable commodity markets, differences between nearby and deferred prices can reflect financing, storage, insurance and the economic value of having inventory available now. Tight inventories can raise the convenience value of physical supply and support backwardation, while abundant inventories and carrying costs can support contango. Other futures markets have different carry mechanisms: interest-rate differentials matter in currency futures, for example, while seasonal supply-and-demand patterns can dominate parts of energy or agricultural curves. This is why contango and backwardation are useful labels but incomplete descriptions of the curve. A market can contain several distinct slopes or seasonal peaks within the same term structure.
A curve is not a forecast strip
The most important interpretation boundary is that a futures curve is not a strip of future spot prices or necessarily an unbiased forecast of them. Each point is a tradable price agreed today for a particular contract maturity. Hedging demand, carry, inventory conditions, arbitrage constraints and liquidity can all affect that price, and farther-dated contracts may contain less precise information when trading is thin. The curve can contain expectations about the future without being numerically identical to expected future spot prices.
Term-structure research also depends on construction choices. Prices should be compared on a consistent timestamp and quotation convention, and the contract set must be defined. A history built from “front month,” “second month” and similar relative labels changes the underlying delivery months whenever the market rolls. Consequently, part of an apparent historical change can come from contract replacement rather than a price jump in the same maturity. For reproducible analysis, named contract months or a clearly specified constant-maturity method should be distinguished from rolling ordinal contracts.