Cash forward contracting is a common, and often preferred, means of managing commodity price risk in many industries. Despite this, little is known about the performance of cash forward markets, in particular the role they play in price discovery. The US lumber market provides a unique case for examining this issue. The Bloch Lumber Company maintains an active cash forward market for many lumber products, and publishes benchmark forward prices on their website and disseminates these prices to data vendors. Focusing on 2×4 random lengths lumber and 7/16 oriented strand board, this research examines the lead–lag relationships between the 3-month forward prices published by Bloch Lumber, representative spot prices, and lumber futures prices at the Chicago Mercantile Exchange. Results suggest that at least for 2×4 random lengths lumber, the forward prices published by Block Lumber lead both the spot price and futures price, suggesting that this private cash forward market provides some level of price discovery in the lumber markets.