An Index is a representative of a set, and is generally the indicator of status of the set. In a stock market context, Index is an indicator of the broad market. For instance, by tracking the changes of the BSE Sensex, one can effectively gauge market moods in India. Any Index is an average of its constituents. For example, the BSE Sensex is a weighted average of prices of 30 select stocks, where the weight is the market capitalization of individual stocks.
Market capitalization is the product of stock price and number of shares issued by the company.
Futures designate all contracts covering the sale of financial instruments or physical commodities for future delivery on any exchange. The contracts themselves are often traded on the futures market, which is a market in which contracts for future delivery of a commodity or a share are bought or sold. In general there is no physical delivery of the underlying asset but the settlement is done by paying or receiving the difference of the actual price on May 31 and the contracted price. Index futures are future contracts where the underlying asset in the Index. This is of great help when one wants to take a position on market movements.