The markets in which the index contracts are traded are called stock index futures markets. The S&P 500 ,NYSE ,Value Line ,Major Market , FT-SE 100 ,CAC-40, Nikkei indices are mostly subject to the futures contacts but certain local indices are used in the futures markets of their own countries. At the expiration date ,the value of the futures contracts are equal to the stock index value times the contract multiple (such as 250$ or 500$) and the position is closed out by paying this value. For example , if S&P 500 index value is 1000 point and the multiple is 500$ ,the investor must pay 1000 x 500$ = 500.000 $. The physical delivery doesn't exist in stock index futures markets. Due to the daily settlement , the cash paid or obtained is equal to the difference between the preceding day price and the expiration day price.