Equity index futures

A futures contract is a promise to settle the change in an index’s value at a set multiplier, margined daily, with no shares and no fund. The standard E-mini S&P 500 contract is $50 times the index; the Micro is one-tenth that, $5 times the index. At a September 2026 index level near 7,600, one Micro contract carries about $38,000 of notional exposure, though the cash actually posted as margin is a fraction of that, which is the leverage this route runs on.

There is no expense ratio and no advisory fee. The cost is built into the contract’s price: a future embeds a financing rate close to the Treasury bill rate, and that embedded rate has historically run 20 to 50 basis points above it, a spread CME’s own research on the 2011 roll period put at 32 to 36. Add a few basis points for the bid-ask spread and the cost of rolling one expiring contract into the next.

By statute, gains and losses on a broad-based index future are 60% long-term and 40% short-term every year, regardless of how long the contract was held, simpler than tracking individual holding periods but not something an investor can choose around. Futures trade in a taxable account and, through many brokers, inside an IRA; a 401(k) plan will not offer them. Tracking the index is close to exact. The daily margin calls and contract rolls are the real risk, which is why behavior risk here is high.