That's kind of interesting concept, but is it possible that cash gold appreciates much less than z15 price? For example, cash gold increase $100 while z15 increases $200 per contract, then you lose 100 pt. Another scenario would be if cash price becomes higher than the future price, that also changes the current built in gain into the loss. Of course your built in gain could increase further, too. Gee, I already have a headache.