This paper analyzes a model of a futures market in which both pure speculators and producers participate. Traders form rational expectations about the return on holding futures (the spot price) and the amount they will produce, on the basis of diverse private information and the futures price. Constant absolute risk aversion utility functions and normal distributions are assumed in the model. A set of necessary and sufficient conditions is established for the informational efficiency of the futures market, which is taken to mean that the futures price is a sufficient statistic for information about the spot price. In this model the futures price is not in general a sufficient statistic unless there is information available about only one side of the spot market, in which case the sufficient statistic equilibrium is shown to be the only rational expectations equilibrium in which price is a linear function of the information.