The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. The paper analyses the European wheat futures markets (feed and milling) and the Chi- cago Board of Trade’s wheat contract as a comparison. Although the main purpose of the paper is to analyse whether futures markets are still useful for hedging (con- sidering the demands from different market participants), implicitly this can be seen as testing whether the increasing presence of speculation has made futures markets divorced from physical markets. The results indicate that hedging with futures mar- kets is still a viable alternative for dealing with price risk. This is particularly true in short period hedges (e.g. merchants and processors), where the basis seems to have been affected by the observed price instability.