I've spent hours hunting down the information on the NDX 500. Here is what I have come up with after calling at least 5 brokers, talking to several market makers, pit traders and Globex workers. The NDX 500 is a derivative consisting of the Nasdaq stocks in the S&P 500 plus a few other stocks that were left out. The tricky part is that the 500 doesn't represent the number of stocks in the index, but rather the index's multiplier. After the stock prices are added and weighted according to a proprietary methodology, the index is then multiplied by 500. Unfortunately Nobody I talked to can tell me which stocks are in the NDX 500, and some have even go so far as to say that it varies day by day.