Stock Index Futures Explained: E-mini S&P 500, Micro E-mini, Nasdaq-100, and S&P/TSX 60 (SXF)

A stock index futures contract is an agreement to exchange cash based on the level of a stock index, such as the S&P 500, on a future date. Nobody delivers 500 stocks: the contract is worth a fixed dollar amount per index point, it is marked to market every day, and at expiry it settles in cash against a special opening value of the index.

In short: the CME Group E-mini S&P 500 (ES) is worth $50 times the S&P 500 index and moves in 0.25-point ticks worth $12.50. The Micro E-mini S&P 500 (MES) is one tenth the size, $5 per point, with a $1.25 tick. The E-mini Nasdaq-100 (NQ) is $20 per point. In Canada, the Montreal Exchange’s S&P/TSX 60 futures (SXF) are C$200 per point with a 0.10-point tick worth C$20. All of them are cash settled and trade for most of the day and night.

Why people use index futures

An index future lets someone gain or shed exposure to a whole stock market in one trade, with a small deposit relative to the size of the position. A pension fund that just received a large cash inflow can get market exposure in seconds while it decides which stocks to buy. A portfolio manager worried about a weekend event can reduce exposure without selling hundreds of holdings. A speculator can take a view on the index, in either direction, with leverage.

That last point is where the risk sits. The deposit is small, but the exposure is not. If the basics of margin are new to you, read how futures margin works before the arithmetic below.

The main contracts

Specifications come from the exchanges’ own contract pages and rulebooks. Trading hours and margins can change, so the figures below are as of November 2026.

Contract	Exchange	Code	Multiplier	Tick	Tick value
E-mini S&P 500	CME	ES	$50 x index	0.25 points	$12.50
Micro E-mini S&P 500	CME	MES	$5 x index	0.25 points	$1.25
E-mini Nasdaq-100	CME	NQ	$20 x index	0.25 points	$5.00
Micro E-mini Nasdaq-100	CME	MNQ	$2 x index	0.25 points	$0.50
S&P/TSX 60 Index Standard Futures	Montreal Exchange	SXF	C$200 x index	0.10 points	C$20

The Montreal Exchange also lists a smaller S&P/TSX 60 Index Mini Futures contract (SXM) at C$50 times the index, a quarter of the SXF size.

A few shared features:

Quarterly expiries. All of these list March, June, September and December contracts. CME lists the nearest five quarterly months for ES. The month codes (H, M, U, Z) are explained in the expiration month codes glossary entry.
Cash settlement. The CME contracts settle to a Special Opening Quotation of the index on the third Friday of the contract month, built from the opening prices of each stock in the index. SXF settles to the official opening level of the S&P/TSX 60 on its final settlement day, which is the third Friday of the contract month (or the preceding business day if that Friday is not a business day), and SXF trading stops the trading day before. For more on how this works, see physical vs cash settlement.
Notional value. The dollar size of one contract is the futures price times the multiplier. CME’s own education material gives the example of ES at 2175.00 having a notional value of $108,750. At an illustrative ES price of 6,000.00, one contract controls $300,000 of index exposure.

Worked example: one ES, one MES, one SXF

These prices are illustrative, not forecasts.

E-mini S&P 500. You buy one ES contract at 6,000.00. By the daily settlement it is at 6,012.50.

Move: 12.50 points.
Ticks: 12.50 / 0.25 = 50 ticks.
Profit: 50 x $12.50 = $625. (Check: 12.50 points x $50 = $625.)

Had the index fallen 12.50 points instead, you would lose $625, debited from your account that evening through daily settlement.

Micro E-mini S&P 500. The same 12.50-point move on one MES:

50 ticks x $1.25 = $62.50.

Ten MES contracts carry the same exposure as one ES: 10 x $62.50 = $625.

E-mini Nasdaq-100. You buy one NQ at 21,000.00 and it falls to 20,940.00, a 60.00-point move against you.

Ticks: 60.00 / 0.25 = 240 ticks.
Loss: 240 x $5.00 = $1,200 per contract.

SXF. You sell one SXF at 1,500.00 and the price rises to 1,508.30.

Move: 8.30 points against you.
Ticks: 8.30 / 0.10 = 83 ticks.
Loss: 83 x C$20 = C$1,660. (Check: 8.30 x C$200 = C$1,660.)

The Montreal Exchange’s own example of variation margin uses the same method: 10 contracts x (735.90 minus 735.30) x C$200 = C$1,200.

Fair value: why the future is not the index

If you watch the S&P 500 and ES side by side, the futures price is usually a little different from the index. That gap is not an error. It reflects the cost of carry.

Owning the stocks in the index costs you the interest you could have earned on that cash, but pays you dividends. Owning the future ties up only margin, so you keep earning interest on the rest, but you do not receive dividends. To keep those two routes equivalent, the futures price should sit roughly at:

Fair value = Index x (1 + r x t / 360) minus expected dividends

where r is the short-term interest rate and t is the number of days to expiry.

Illustrative example: the index is at 6,000.00, short-term rates are 4%, there are 90 days to expiry, and expected dividends over that period are worth 18 index points.

Interest: 6,000 x 0.04 x 90 / 360 = 60.00 points.
Fair value: 6,000 + 60 minus 18 = 6,042.00.

When interest rates are higher than the dividend yield, index futures usually trade above the index (a premium). When rates are below the dividend yield, they trade below it. As expiry approaches, t shrinks toward zero and the future converges on the index. The full mechanics, including basis and convergence, are in how futures prices are set.

News broadcasts that show “S&P futures up 0.4% before the open” are usually comparing the futures price to its previous close. Professionals compare it to fair value instead, because part of any premium is just carry.

Trading hours, as of November 2026

CME E-mini and Micro E-mini. Trading runs Sunday to Friday, 5:00 p.m. to 4:00 p.m. Central Time, with a short trading halt from 3:15 p.m. to 3:30 p.m. CT and a daily maintenance break Monday to Thursday from 4:00 p.m. to 5:00 p.m. CT. That is close to 24 hours a day on weekdays.

Montreal Exchange SXF. SXF has an early session from 8:00 p.m. (the previous evening) to 9:15 a.m. Eastern Time, with prices limited to a range of 7% either side of the previous day’s settlement, and a regular session from 9:30 a.m. to 4:30 p.m. ET.

Overnight trading means index futures react to news while the stock market is closed: an earnings report after the close, an overseas sell-off, a central bank decision. It also means that liquidity at 2:00 a.m. is much thinner than at 10:00 a.m., and prices can move sharply on small volume. Session details and order types are covered in futures trading hours and order types.

What can go wrong

Leverage cuts both ways. At 6,000.00, a 2% fall in the S&P 500 is 120 points. On one ES that is 120 x $50 = $6,000. On one MES it is $600. The margin deposit can be a fraction of the notional value, so a modest move in the index can be a large fraction of your deposit.
Losses can exceed the deposit. If the market gaps past your stop overnight, or moves more than your account can absorb, you owe the difference. Futures accounts do not stop at zero.
Margin can rise when you least want it. CME sets performance bond requirements and changes them as volatility changes. Brokers can set higher requirements and raise them without notice. Check CME’s margin page and your broker for current figures, since any number quoted here would be out of date quickly.
Price limits and circuit breakers. Equity index futures have limits tied to the market-wide circuit breakers, and overnight there are tighter limits. When a limit is hit, you may not be able to exit at the price you want. See limit moves and circuit breakers.
Currency for cross-border traders. A Canadian trading ES has gains and losses in US dollars; an American trading SXF has them in Canadian dollars. Exchange rate moves sit on top of the index move.
Expiry and rolling. If you hold a position across quarters, you have to roll it, and the roll price includes the carry difference between months.

The takeaway

Stock index futures turn an index into a contract worth a fixed amount per point. ES is $50 a point, MES $5, NQ $20, MNQ $2, and SXF C$200. The futures price sits near fair value, which is the index plus interest minus dividends, and converges on the index at expiry, when contracts settle in cash. Ticks are tiny, but multiplied by the contract size and leverage they add up fast, in both directions.