Following stock indexes isn't too hard; most financial web sites like CNN or MS Money will have the key indexes on the front page. However, following market index futures contracts is a little more difficult.
First, you have to know what exchange the futures contracts are trading on. For most of the main US indexes, the Chicago Mercantile Exchange (CME) will be the source; they handle the Standard and Poors 500 futures contract, as well as the Dow Jones Industrial Index, the Russel 2000 and Japan's main index, the Nikkei 225.
There is more than one contract trading on an index at any given time; contracts are set up with quarterly maturities on the third Friday of each quarter (March, June, September and December); the December 2009 contract settles on December 18th and the March 2010 contract settles on March 19th. Usually, the contract with the nearest maturity will be very active, with the activity lessening the further out the contract is.
There will be a number of data points on a futures quote page:
- Open-What the stock index future started the day at.
- Last-What the stock index future ended the day at.
- Change-How much the price change from the last trading day.
- High and Low-the high and low price of the day.
- Prior Settle-What the final price was the trading day before.
- Volume-How many contracts changed hands today.
One thing to note is that the futures price will be different from the underlying price of the option. If the dividend yield on an index is higher than the Treasury-bill for that time-frame, the price will be discounted by the difference in interest rates. So, if the S&P 500 is yielding 1.75% and a one-year T-bill is yielding 0.5%, a future contract a year from now will be at a 1.25% discount. If the price of the futures contract doesn't match that discount, there is an "arbitrage" or free-lunch opportunity for investors, and the market will move the futures price back to the proper discount quickly.
If you are looking to get into a contract, try to avoid getting too far into the future; check the volume of the contract and if it has very few trades, avoid getting into it, since a light market will tend to be illiquid, giving you too high a price when you buy and too low a price when you sell, so the volume column isn't as geeky as you think it is.