a future = index + interest - dividends. an index is the cash price which a future is based. in the simplest form, think of a one stock index, call it X. The future value of X = X * ndays interest earned till expiration if you placed the cash value of X in the bank - any dividends that will be paid before the expiration date.
1. If you own an index (vehicle), you effectively own the stocks. If you own a futures contract on the index, you have an agreement based upon the index which has an expiration date and must be settled at the cash index value at expiration for all outstanding contracts. 2. The most liquid futures are the S&P500, and e-mini S&P. There is also Nasdaq contract and an e-mini on that, but with less liquidity. Then, there are illiquid contracts on the Eurotop and Nikkei, and maybe others.