Look up put-call parity and make sure that makes sense.
The intuition is that you only get compensated for risk at the portfolio level. So while the future (or synthetic future) will be risky and the asset will be risky the portfolio of the two is not since they have perfect negative correlation.
In practice or in specific markets this isn’t so clean. An example would be the convience yield in the commodities market, or the change in dividend yields from expectation in a long position, or the short interest on an equity short position.