[dubhrosa]

Not necessarily - for stock index futures, the seller of the contract can simultaneously buy the index of stocks. When the future contract reaches maturity the seller has to "deliver" the basket of stocks to the buyer. Banks and market makers make money writing (selling) such index futures by buying a smaller basket of stocks than are strictly in the index to get the same hedge effect (using principle component analysis, yay!), consolidating an entire portfolio of contracts and having a single hedge, and also by having lower transaction costs to buy/sell the underlying stocks than the clients buying/selling the future would, because they already have all the expensive exchange memberships, they also may have inventory, and they have dark pools, in which their own traders get first priority.