The main purpose of this research is to study the relationship between Open Interest and Time-to-maturity with the Return of gold futures contracts in Iran Mercantile Exchange. In this research, open Interest and Time to maturity are independent variables and the Return of contracts is the dependent variable. In this regards, the current statistical population involves future gold contracts of Iran Mercantile Exchange during 15 months. The research data has been gathered through listed futures contracts on the Gold coin with maturity data of 2013 and 2014. The Linear Regression with fixed effects has been used to test the hypothesis. According to the findings, there is a linear relationship between the effects of Time-to-maturity with Returns of future contracts. But the results do not show any significant linear relationship between the number of Open Interests effects and the Return of future contracts.