This paper examines the impact of speculative futures trading on the volatility of the S&P 500 index. The empirical approach taken allows for more specific inferences regarding whether speculators ought to be targeted for regulation. There is no evidence that speculators contribute to market volatility. Although there are strong indications that futures open interest is contemporaneously related to cash market volatility, volatility and speculative are only weakly related. Further, there is an absence of causality between cash market volatility and speculative commitments. The study also distinguishes between a possible impact of contract size and number of traders. We document a positive contemporaneous relationship between cash market volatility and the size of the commitments of large speculators. However, there is no evidence that the changes in the number of speculators or the size of their holdings result in increased levels of interday or intraday cash market volatility. Based on the findings, the proposals for further regulation directed at stock index speculation seem unwarranted. © 1998 Elsevier Science Inc.