A futures contract is a contract to purchase (and sell) a particular asset at a fixed price in a future time period. There are two parties for every futures contract - the seller of the contract, who agrees to bring the asset at the particular time in the future, and the buyer of the contract, who gives consent to give a fixed price and take delivery of the asset. If the asset that underlies the futures contract is traded in the market and is not perishable then you can build a pure arbitrage if the futures contract is mispriced.