Explanation

When a futures market is in contango, the forward curve is upward sloping, meaning longer-dated futures contracts trade at higher prices than shorter-dated contracts.

Key concept: In contango, when rolling forward expiring contracts, you need to buy more contracts to maintain the same dollar exposure because:

• You're selling the expiring (cheaper) contracts
• You're buying the new (more expensive) contracts
• Since the new contracts are more expensive, you need more of them to maintain the same total dollar value exposure

Therefore, the correct answer is C: a higher number of futures contracts.