I noticed that SIPC does not cover futures. Accounts at futures brokers are not protected by SIPC. If I am worried about the possibility of a futures broker's collapse, what should I do? Do I need to conduct due diligence on the broker before opening an account? What would this due diligence involve (what reports do I need to read)? Do futures brokers have something similar to SIPC which would relieve me from having to conduct this due diligence?
Due to the way that futures contracts are created and traded, it's rare that a broker's default or collapse would penalise end holders. I would expect that clearing positions held by a clearing broker that defaulted would probably get re-distributed to other clearing brokers. After all these are revenue earning positions/relationships so they would want to receive them.
The costs of end holder defaults are usually borne by member clearing brokers or the exchange itself.
This is one of the reasons why futures are so liquid, as there is generally a very low counterparty default risk, as the other party of any trade is (eventually) the exchange.