The paper examines the effect of the presence of a commodity futures market upon the price formation process in a stochastic rational expectations framework. An optimizing model with price uncertainty and risk aversion is used in order to solve equilibrium distributions of prices for nonstorable commodities. The existence of futures trading does not affect the degree of short-term spot price fluctuations. However, if the commodity market disturbance that originates from stochastic consumption demand is serially dependent, then the long-term price variation is smaller with a futures market than without it. Futures prices fluctuate less variably over time than spot and expected prices. Finally, there exists a futures intervention rule whereby the authority can stabilize spot prices and raise the overall welfare of society.