The observed non-normality of futures price changes has been attributed to non-constant variance. This paper tests whether the non-normality is due to changing variances or additional factors. The data are adjusted for heteroskedasticity and the stability-under-addition test of stable distributions performed on the original and the rescaled data sets. Rescaled data are less leptokurtic than the original data, but the rescaled data are still not normal. Thus, factors other than changing variance may also be responsible for the observed leptokurticity of daily futures returns.