Suppose there is constant risk-free interest rater and the futures price F(t) of a particular underlying is log-normal with constant volatilityσ. Then the Black formula states the price for a European call option of maturity T on a futures contract with strike price K and delivery date T' (with ) is
Note that T' doesn't appear in the formulae even though it could be greater than T. This is because futures contracts are marked to market and so the payoff is realized when the option is exercised. If we consider an option on a forward contract expiring at time T' >T, the payoff doesn't occur until T' . Thus the discount factor is replaced by since one must take into account the time value of money. The difference in the two cases is clear from the derivation below.
The payoff of the call option on the futures contract is . We can consider this an exchange (Margrabe) option by considering the first asset to be and the second asset to be riskless bonds paying off $1 at time . Then the call option is exercised at time when the first asset is worth more than riskless bonds. The assumptions of Margrabe's formula are satisfied with these assets.
The only remaining thing to check is that the first asset is indeed an asset. This can be seen by considering a portfolio formed at time 0 by going long a forward contract with delivery date and long riskless bonds (note that under the deterministic interest rate, the forward and futures prices are equal so there is no ambiguity here). Then at any time you can unwind your obligation for the forward contract by shorting another forward with the same delivery date to get the difference in forward prices, but discounted to present value: . Liquidating the riskless bonds, each of which is worth , results in a net payoff of .
Black, Fischer (1976). The pricing of commodity contracts, Journal of Financial Economics, 3, 167-179.
Garman, Mark B. and Steven W. Kohlhagen (1983). Foreign currency option values, Journal of International Money and Finance, 2, 231-237.
Miltersen, K., Sandmann, K. et Sondermann, D., (1997): "Closed Form Solutions for Term Structure Derivates with Log-Normal Interest Rates", Journal of Finance, 52(1), 409-430.