Abstract: A municipal note index futures contract in accordance with the principles of the present invention includes a sufficient number of municipal bonds to maintain a broad reflection of the market as a whole. The municipal bonds represent a widely dispersed sampling. The municipal bonds are issued by an issuer who has a minimal credit rating depending on the target sector. The issue price of the bond must have a minimum value at its issuance date and each municipal bond must have a minimal principal size and be apart of a minimal offering size to be eligible for inclusion. The index is revised frequently enough to prevent the index from becoming “stale” while minimizing disruptions. Bonds that have had outsized price moves on settlement date are eliminated.