Here are some books that may be helpful: Exchange Traded Funds and E-mini Stock Index Futures David Lerman. 2001. The Handbook of Equity Derivatives Jack Clark Francis, ed., William W. Troy and J. Gregg Whittaker, editors. 1999 (rev). Options Volatility & Pricing Sheldon Natenberg. 1994. Stock Index Futures and Options: The Ins and Outs of Trading Any Index, Anywhere Susan Abbot Gidel. 1999.