I guess I am missing something, but if this is possible, the only risk remains the market risk – which is not quite a "risk", considering this case.
What do I mean is this:
Take long position while on performance bond(margin). Do this about a few minutes until the expiration date or hedge, so that to eliminate the market risk(price movements). When the contract comes into power and your long position is open – then demand a physical delivery of the goods. It’s obvious from that point that if for example you have bought in margin 10:1 your profit is more than obvious.
I was thinking for similar case about traditional stocks, CFD, options, spots, swaps – but among such instruments "margin" is always a credit, and not a "deposit on good faith".
Another thing I noticed is that 90% of the brokers don’t engage into physical delivery. Which means that even if my point is right, then one should find a serious futures broker( or pay 500k for membership at CBOT(Nymex) + all the bureaucracy).
Also, I am not sure if the clearing house will allow you to hedge in case when you intent to keep your position + I am not sure if they won’t require some ridiculous proofs that you are ready to handle the delivery(i.e. pay insurance + storage fee).
But in all honesty, I don’t care of physical goods, buying gold/fx futures will be fine. After all, for 2 years studying economics the only thing I have learned is that the only goal of the trader must be: making money, no matter if the party loses everything(…a more fun note for the weekend – though I am 100% serious saying this 
.
Well, I am even not intending to keep the question open for long time if there is some truth in it…but…
Thanks
Tags: 500k, bureaucracy, cbot, cfd, clearing house, e pay, expiration date, few minutes, Forex, futures broker, good faith, honesty, long time, market risk, missing something, nymex, performance bond, physical delivery, proofs, storage fee, swaps