An E-mini is a futures contract on the S&P 500, an index of 500 large US companies. One E-mini bought on 23 March 2026 lost $11,864 in five trading days.
Six trading days later, it was $10,090.50 above its purchase price. Every day in between, the gain or loss moved through the holder's account in cash. Here is how futures work, using real S&P 500 levels.
What is a futures contract? A futures contract is an agreement to buy or sell a set amount of something at a set price on a set future date. It trades on an exchange, with a clearing house standing between buyer and seller.
One E-mini is worth $50 for every point on the S&P 500. At the close of 6,581.00 on 23 March 2026, one contract stood for $329,050 of stock. This is its notional value.
Gains and losses are paid in cash every day. If the account falls below a set level, called maintenance margin, the holder must add cash.
The futures price usually sits a little above the index. The gap reflects interest earned on cash, minus the dividends a buyer of the shares would collect.
What a futures contract is: the exchange and the clearing house
A futures contract fixes a trade today that completes later. The buyer and seller agree the price now. Neither pays the full value up front. Every contract on an exchange is identical, so only the price is agreed.
The S&P 500 contracts below trade on CME Group (CME), the Chicago exchange operator.
CME Clearing describes itself as "the buyer for every seller and the seller for every buyer". It guarantees the trade, so neither side has to trust the other.
Futures vs forwards vs options
A futures contract is standard. It trades on an exchange and is settled through a clearing house. Gains and losses are paid in cash every day.
A forward contract is the same promise made privately between two parties and settled once, at the end. Each side carries the risk that the other fails to pay.
An option gives the right, without the obligation, to buy or sell at a set price. The buyer pays for that right up front.
How S&P 500 futures work: size, expiry and settlement
Size. One E-mini is $50 times the index, according to CME's rulebook. The index level times $50 is the contract's notional value: the amount of stock it stands for.
Expiry. Contracts expire four times a year, in March, June, September and December. Each expires on the third Friday of its month.
Settlement. No shares change hands. The final price is a special opening quotation of the index, built from that Friday's opening share prices. The contract then settles in cash.
Other futures follow the same rules: see What Are Fed Funds Futures? and How the Oil Market Works.
Margin and the daily mark-to-market
A futures trader's deposit is called margin. CME uses two levels:
Initial margin is paid to open a position.
Maintenance margin is the lower level the account must stay above.
Each day, the exchange sets a settlement price for each contract: its official end-of-day price. The clearing house then marks every position to market at that price. Losses are taken from the account in cash. Gains are paid in. In CME's own words, "losers pay winners every day".
If losses push the account below maintenance margin, the holder gets a margin call. They must pay in enough to bring it back up to the initial level.
Fair value: why the futures price differs from the index
A futures buyer gets the index's gains without paying for the shares, so their cash keeps earning interest. They also miss the dividends that owners of the shares collect. Interest minus dividends is called the carry. The fair price of the future adds the carry for the time left to expiry:
Fair value ≈ index × (1 + (interest rate − dividend yield) × years to expiry)
The interest rate is the yield on a 3-month Treasury bill, a loan to the US government. The dividend yield is a year of dividends as a share of the index.
Input | Value on 30 September 2026 |
|---|---|
S&P 500 close | 7,651.54 |
3-month Treasury bill rate | 4.03% |
S&P 500 dividend yield | 1.06% |
Days to expiry (18 December 2026) | 79 |
Fair value of the December E-mini | 7,700.7 |
Gap above the index | 49.2 points, or $2,459 per contract |
Source: FRED (SP500, DTB3); multpl.com; YX Insights
On 30 September, the December contract's fair value was about 49.2 points above the index. That is $2,459 on one E-mini. The gap shrinks to zero by the third Friday, when the future settles at the index.
To stay in the market past expiry, a holder sells the expiring contract and buys the next one. This is called rolling. At September's rates, the next contract is priced about 0.74% higher, which is three months of carry.
A worked example: one June 2026 E-mini bought on 23 March
The March contract expired on 20 March 2026. So a buyer on 23 March bought the June contract, which expired on 19 June. We use the S&P 500's daily closes as a stand-in for its settlement prices.
On the fair value formula, the June contract sat about 38.4 points above the index on 23 March. That gap shrank by only about 0.4 points a day, so the contract's daily moves tracked the index closely.
Source: FRED (SP500); YX Insights
The buyer paid 6,581.00. The index fell on four of the next five trading days. On 30 March it closed at 6,343.72, which is 3.6% below the purchase level. We close the example at the 8 April close of 6,782.81, 3.1% above the purchase level. We chose the window to show a full fall and recovery.
The example day by day: cash in and out of the margin account
Each day's cash flow is the day's change in index points times $50.
Source: FRED (SP500); YX Insights
The worst day was 26 March. The index fell 114.74 points, so $5,737 left the account. By 30 March, $11,864 had gone in total. On 31 March, $9,240 came back in a single day. By 8 April, the account was $10,090.50 ahead. On the real contract, the narrowing fair value gap would have trimmed that by about $314.
How futures magnify gains and losses
The holder controlled a notional value of $329,050 for a deposit. Each 1% move in the index was worth $3,290.50. This magnifying effect is called gearing.
This guide does not show the trade's own margin, because CME's figure for March 2026 could not be verified from a dated CME source. So we cannot say whether the fall to 30 March triggered a margin call.
CME's own teaching example shows the scale on a separate, older contract, worth $52,500 with the index at 1,050. The initial margin was $4,000, about 7.6% of its value. At that ratio, a 1% move in the index is about a 13% move in the deposit.
What goes wrong with futures
Gearing and margin calls. A small move in the index is a large move in the deposit. Margin calls come in cash, on the day. Without the cash, the position can be closed at the worst moment.
Prices move outside stock market hours. CME offers "nearly 24-hour access", so an account can lose money before the stock market opens.
How to use futures prices: fair value and position size
Subtract fair value first. Most of the gap between the future and the index is carry. Any gap left over is what the market is adding.
Size the position by notional value. On 30 September 2026, one E-mini stood for $382,577 of stock. A Micro E-mini, at $5 times the index, stood for 1/10 of that.
A futures contract locks in a price today for a trade that settles later. Every day in between, the gains and losses move through the margin account in cash. That is how one contract bought on 23 March 2026 lost $11,864 in a week, then ended $10,090.50 above its purchase price.
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