There is no value creation in the futures market.
Every dollar I make came out of someone else's account.
Discussion
But but but . . . muh price discovery!
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It is about risk exchange, a robust futures market allows people to hedge to the level of risk they prefer. I would say there's value there, though hard to quantify.
If that were true insurance would have no value either. The value created is being able to hedge or assume a level of price risk that closely matches your risk tolerance.
That's where everybody wins. The entity I took money from could have been an SPX options market maker who was hedging their position in options using futures and so they don't care about the negative return in the futures market because it's offset by the return they made on the calls that they sold.