Commodity derivatives are accepted as vehicle to reduce price risks e.g. for entities along the agricultural supply chain. Futures exchanges are able to project future prices of a good into presence. With hedging, any market participant can avoid adverse changes in value of the underlying commodity. But any engagement at futures markets also comprehends residual risks: For example, an insufficiant concentration of buyers and sellers reduces market depth and subsequently causes an inefficient market. Also, risks exists for enterprises if the correlation coefficient between cash market and futures market is less than one. Furthermore, risk are evident in the area of behavioral economics. For example, if actors evaluate (price-) risks subjectively and/or if their utility function is not coherent with assumtions of the portfolio theory. Such residual risks reduce the capability of a selected futures contract to compensate changes in value. This paper examines, how such risks can be modeled, to which extent their evidence can be shown, and how much costs they cause.