Index futures
Index futures are exchange-listed contracts whose value is tied to a stock index such as the S&P 500 or the Nasdaq-100; they are cash-settled, expire on a quarterly cycle and trade on a central order book. ES, NQ and their micro versions are the CME index futures most used for order flow analysis.
Senzoukria · Glossary · Updated September 2026
How they differ from the index
A stock index is a calculated number; it cannot be bought. An index future is a contract to exchange cash based on the index level at expiry, with a multiplier that turns index points into currency. The future trades at a price that differs from the cash index by the basis, which reflects financing costs minus expected dividends and shrinks toward expiry. Because the contract, and not the index, is where orders rest and trades print, order flow tools are always built on the futures contract.
Main CME index futures
- Each ticker is a separate order book, even when two track the same index.
- Tick increment and multiplier are published per product on the CME contract specification.
- All of them expire on the quarterly cycle and require a roll to the next contract.
| Ticker | Index | Size |
|---|---|---|
| ES | S&P 500 | E-mini |
| MES | S&P 500 | Micro E-mini |
| NQ | Nasdaq-100 | E-mini |
| MNQ | Nasdaq-100 | Micro E-mini |
Options levels on index futures
Gamma exposure and similar levels are computed on an options chain (SPX, SPY, NDX, QQQ), not on the future. Showing them on ES or NQ requires a transposition that applies the basis and rounds to the contract tick, and the result is a modelled level rather than resting liquidity. A futures feed alone cannot produce these levels.
In Senzoukria
Index futures are the core domain of the application: the guided tour presents Rithmic for CME futures and Databento for CME history, and Rithmic Direct connects a futures account for ES, NQ and the other CME contracts, with market data billed by the provider in both cases. The settings timezone hint reads "NY / CHI for futures sessions, UTC for crypto", and the News module labels the day with "Globex open", "Globex break" and "Globex closed". The GEX view is available only when an options source is configured; crypto pairs are supported for analysis only.
Common mistakes
- Reading cash-index levels on the future without the basis.
- Comparing volume between the E-mini and the micro as if they were one market.
- Assuming an options-derived level is an order in the futures book.
Related
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Frequently asked questions
- Why does the future trade at a different price from the index?
- The gap is the basis. Holding the future instead of the underlying stocks avoids financing the position but forgoes dividends, so the fair futures price is the index adjusted for financing minus expected dividends. The basis changes with rates, dividends and time, and converges to zero at expiry.
- Why is order flow analysed on futures rather than on the index or an ETF?
- Order flow needs a single record of executions and resting orders. An index has neither, and an ETF trades across many venues. A CME index future has one central limit order book and one tape published by the exchange, so a footprint or a DOM built on it is reproducible from any entitled feed.