We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew-normal distribution, such to consider the effect of negative skewness on the optimal futures demand. Relative to the benchmark of bivariate normality, negative skewness has a material impact when the agent is significantly risk-averse. Pure hedging demand is greater than minimum-variance demand, meaning that an infinitely risk-averse agent always overhedges his/her cash position. The difference between pure hedging and minimum-variance demand increases with basis risk, i.e. the imperfect correlation between cash and futures returns. When the agent is moderately but not infinitely risk-averse, there is room for speculative positions, and the optimal futures demand is driven by both basis risk and the expected return on the futures market.