S&P 500 Futures vs the Index

Open the dashboard at night and the S&P 500 futures show a price, while the S&P 500 index still shows yesterday's close. Open it at lunchtime and the two numbers are close but never equal. This is normal, and it confuses almost everyone once.

The short answer: the index is a calculated score of 500 stocks that only updates while US stocks trade. A future is a contract on that index that trades nearly 24 hours, and its price is the index plus financing costs minus dividends until the contract expires. So the two levels differ by a few points to a few dozen points, and the only fair comparison is the percentage change of each, measured from its own reference point.

Both are on the free dashboard: the Markets card shows the index and its futures, and on a phone the S&P 500 and Nasdaq tiles switch to their futures while the US market is closed.

Educational only, not financial advice. Futures are leveraged and can lose more than they seem to risk.

Compare the two Change values, not the two Levels. The levels differ by the basis described below, and when the US market is closed the index level is simply its last close while the futures keep trading.

These values are from when this page was generated. A quote can be older than the page, and a market that is closed shows its last close. The dashboard updates them live.

A futures contract is a promise to buy the index on a future date. Someone who wanted the index at that date could instead buy the stocks today and hold them, which costs interest (the money tied up) and earns dividends. The futures price has to reflect both, or there would be a free profit between the two. So:

Fair value is about the index, plus interest to expiry, minus dividends to expiry. The gap between the actual futures price and the index is the basis.

A hypothetical example with round numbers: the index is at 7,000, short-term interest rates are 4%, the contract expires in three months, and the index's dividend yield is 1.3%.

The basis here is about +47 points, which is under 1% of the index. It shrinks every day and reaches zero at expiry, when the future becomes the index. When rates are above the dividend yield, which is the usual case, futures trade above the index. If rates fell below the dividend yield, they would trade below it.

The index is calculated only while the US market is open, 9:30 a.m. to 4:00 p.m. Eastern. The future trades from Sunday evening to Friday afternoon, so everything that happens while the US is closed shows up in futures first: an Asian selloff, a European data release, an earnings report after the bell, a central bank statement.

• Before the open, futures are the live read on where the market may start. The five-minute morning check uses them for exactly this: see the morning market check.
• Futures are a read on the open, not on the day. A market that is up before the bell can fade, and the move that matters is the one that holds after 9:30 a.m.
• On the dashboard, a closed-market weekday shows the futures change from the last settlement, while the index still shows the previous close. That is why the two cards can disagree overnight without either being wrong.

For the other markets that open before the US, the exchange hours page shows which sessions are open now.

E-mini S&P 500 contracts expire four times a year. Traders who want to keep a position roll it: they sell the expiring contract and buy the next one, usually in the week before expiry.

Each contract has its own basis, so a chart that follows the front contract steps by the difference when it switches to the next one. The step is a change of contract, not a market move. If a futures line shows a gap of a few points to a few dozen points around the third Friday of one of these months, that is the roll.

• Compare percentages, not levels. A futures price of 7,047 against an index of 7,000 is not a 47-point rally. It is the basis.
• Check each one's reference point. The index change is measured from the previous close. The futures change on the dashboard is measured from the last futures settlement, so the two percentages start from different moments.
• Expect a small step at a roll, and do not read it as news.
• Use futures for the open and the index for the record. Past returns and benchmarks are quoted on the index, or on an ETF that tracks it.

The same logic applies to the Nasdaq 100 and the Dow: each has an index and a future, with the same basis and roll.

S&P 500 futures and the S&P 500 index track the same market on a different clock and with a built-in cost. The future runs nearly all week and carries the financing minus dividends, so it sits a little above the index and steps at each quarterly roll. The index runs only in US hours. When the two cards disagree, check the percentage changes and their reference points before reading anything into the gap. Futures tell you where the market may open, not where it will finish.

Why is the S&P 500 futures price different from the S&P 500 index?

They are two different things. The index is a calculated number from 500 stock prices, and it only updates while US stocks trade. A future is a contract to buy or sell the index on a set date, so its price is the index plus the cost of financing until that date, minus the dividends the stocks will pay before then. That gap is called the basis, and it is why futures usually trade above the index by a few points to a few dozen points. Compare the percentage changes of the two, not their levels.

Do S&P 500 futures predict how the market will open?

They are the best live read on the open, because they trade through the night while the index is not calculated. News from Asia and Europe, earnings reported after the close and economic data all show up in futures first. They are a read on the open, not a forecast of the day: futures that are up before the bell can fade, and the move that matters is the one that holds after 9:30 a.m. Eastern.

When do S&P 500 futures trade?

E-mini S&P 500 futures trade on the CME Globex platform nearly around the clock, from Sunday 6 p.m. to Friday 5 p.m. Eastern, with a one-hour break each day from 5 p.m. to 6 p.m. The S&P 500 index itself is calculated only during the regular US session, 9:30 a.m. to 4:00 p.m. Eastern.

What are fair value and basis?

Fair value is the theoretical futures price: the index level plus the interest you would pay to hold the stocks until expiry, minus the dividends they would pay. The basis is the actual futures price minus the index. When interest rates are higher than the index's dividend yield, which is the usual case, the basis is positive. It shrinks toward zero as the contract approaches expiry.

Why does a futures chart jump around March, June, September and December?

E-mini S&P 500 contracts expire on the third Friday of March, June, September and December, and traders move to the next contract in the week before. The two contracts have different basis, so a chart that follows the front contract steps by that difference when it switches. The step is a contract change, not a market move.

What is the E-mini S&P 500 future?

It is the CME contract tied to the S&P 500, with a value of $50 times the index level. Its smallest price move is 0.25 index points, worth $12.50. A Micro E-mini version is one tenth the size, at $5 per index point. Futures are leveraged, so gains and losses are magnified, and this is educational, not financial advice.

Can I buy the S&P 500 index directly?

No. The index is a number, not something you can hold. You get exposure through an ETF that tracks it, such as SPY or VOO, or through futures. The ETF holds the stocks and pays the dividends, while a future carries the financing and dividend adjustment in its price.

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