The introduction of an agricultural commodity futures market in South Africa is considered. A futures market can be used by both buyers and sellers of a commodity to significantly reduce price uncertainty. Theoretical arguments are used to show that the futures and cash prices should be very close, if not equal, at expiration and that the current futures price should be a good forecast of the cash price at expiration. Speculators play an important role by providing liquidity to the futures market, but it is possible that they can distort prices. For a futures market to be a success in South Africa there needs to be a free cash market, adequate liquidity and well informed traders. A computer-based trading system is an improvement on the traditional floor trading system mainly because prices are more likely to reflect the underlying supply and demand conditions