A sign is an index if the reader locates its object nearby. For example, when a driver encounters a "yield" sign, he or she takes it to mean "yield to oncoming traffic right here".
Thus, the concept that comes to the driver's mind is related to a situation that is physically near to the sign. This makes the sign an index.
Most traffic signs are indexes. So are most odors and sounds (because the sound or odor is usually coming from something that is nearby).