What Documentation Is Required to Prove a Futures Contract Qualifies for Section 1256?

A trader needs documentation that proves the contract was traded on a "qualified board or exchange" and that the contract itself meets the definition of a "regulated futures contract." This typically includes trade confirmations from the broker/exchange, year-end statements showing the mark-to-market valuation, and knowledge of the exchange's regulatory status (e.g. CFTC-regulated).

Form 6781 is used to report these gains/losses.