A futures premium decays as expiration nears (eg contango). Say I short West Texas Intermediate (WTI) crude oil futures. If the spot price has even odds of going up or down, do I (on average) profit through premium decay? Or is that not counted if you're shorting?
As Drew mentioned in the comments above, "there is no premium in futures." The higher forward price is representative of things like cost of capital, insurance, storage, etc.
The most pure example I can think of would be on S&P futures (due to high liquidity and lack of insurance/storage considerations):
Spot - $3140 1 mo future - $3144.25 You sell the futures contract and wait 1 month with no movement in the S&P. You will have made $4.25 (times the contract multiplier, removed here for simplicity.)
However, the way to look at this is that the buyer of the contract essentially 'borrowed' money from you at the risk free rate of ~1.62%.
Now extrapolate that concept to oil where there are extra costs associated with the physical good that you would essentially be lending the purchaser of the contract funds for. (Since they are not paying for it now, but some time in the future thanks to your contract.)
So, in short, on average you come out exactly even.