When we hear that fair value is “plus 5”, it is meant that the futures contract has to be 5 points above the cash index’s closing price (index value) the previous day so as to be at its fair value....

When we hear that fair value is “plus 5”, it is meant that the futures contract has to be 5 points above the cash index’s closing price (index value) the previous day so as to be at its fair value. Although the index’s (like the S&P 500 stock index) value remains known the next day before the market opens (because it closed the previous day), the futures value fluctuates because of after-hours trading (at the Chicago Mercantile Exchange, or CME) until 15 minutes before the market opens at 9:30 am.