An Index is a set of prices that are published for a commodity or product, usually derived from trading data, using an open and independent method
Detail
An index consists of a set of time periods, with an associated price (or set of prices) for a particular commodity or product for each of the time periods:
The time periods are sometimes called grid points (or gridpoints)
A typical index has daily granularity forward from the date it is published for a number of days, then monthly for some months, then quarterly, seasonal and annual
For each time period there may be a bid price, an offer price, and an average (mean) price
Indexes are usually published at the end of each trading day, and represent some sort of average of the prices that Forward and Futures contracts actually traded at on that day (or for a pre-defined period of the day)
Various organizations publish indexes for different commodities and products: