OK, I know I should know this, but search didn't yield any results. And I stopped after the 5th set on pages on Google. So the question is, what the the options priced off? Cash or futures? Take the ES options for example. What is the NOV series priced off? As you know there is no NOV ES contract. Also, at expiration, what will the NOV option series be priced off? As a side note, my understanding so far is that the only difference between a equity and future option model is that in futures the interest rate is set to 0. Is there anything I am missing that is of importance?