The close, arbitrage-imposed link between the price of futures and the level of the underlying index made it possible to implement portfolio insurance by buying and selling futures, rather than by buying and selling stocks, at least so long as the portfolio to be insured was highly correlated with the S&P 500, as well-diversified U.S. stock portfolios would be. As noted in chapter 6, a futures position equivalent to a huge position in stock could be constructed by making margin deposits that were a small fraction of the value of the underlying stock.

Donald MacKenzie, An Engine, Not a Camera, loc. 801