IRS Link to Form — Found Here

Form 6781 is used to calculate and report gains and losses due from Section 1256 contracts, which covers futures on commodities and indexes, as well as their derivatives, and from straddles, which are options strategies defined under Section 1092.

6781 is used to report positions in futures and options at the end of the year even if no gains or losses were realized through trades. The value of the positions will be marked-to-market at the end of the year, and these will serve to compute the gains and losses for these purposes.

According to Section 1256, all gains and losses in futures and related assets automatically are considered 60% Long-Term Capital Gains, and 40% Short Term Capital Gains, regardless of how long the positions have been held.

This can be quite advantageous for investors in higher income tax brackets, since Long Term Capital Gains will be taxed at a much lower rate than their income tax bracket, which is how Short Term Capital Gains are taxed.