Recent research introduces macroeconomic data into bond pricing models; no studies to date do so for futures pricing models. This paper fills that gap by developing a macro-finance model for commodity futures. I find evidence that real economic activity is an important and unspanned factor in the oil futures market. Both risk premiums and oil price forecasts are materially altered by introducing the macroeconomic data into the model. The model yields a precise estimate of the cost of carry, which is 40% less volatile than the standard proxy and more strongly related to current and future inventory levels.