Abstract
The CAC 40 index is the first thing that comes to mind when talking about financial markets. However it is not negotiable. Therefore appeared derivative contracts such as futures contract FCE whose underlying is the CAC40 index which can be bought and sold. Their values are very close but not equal. So what is the relationship between the FCE contract and the CAC40? Using daily downloadable data on the Internet and accessible to everyone, answers will be given. In the first part we present the future contracts derived from the CAC40, the reasons to trade it, and we compare it to other stock index futures in the world. We then study the relationship FCE / CAC40 in terms of informational efficiency. For that we will study different notions of basis and try to model them. Finally in the last part we are interested in the same relationship but with a microstructure point of view, studying in particular non-price variables: volume and open interest, and volatility. Finally, we will try to modelise volatility with these variables.