Here are the exact definitions of the terms:
Let $G$ be a topological group. Then $G$ has the small index property if every subgroup of countable (including finite) index is open in $G$. Furthermore, $G$ has automatic continuity if every group homomorphism from $G$ to any separable topological group is continuous.
It is well-known that $G$ having the small index property is equivalent to the fact that every homomorphism from $G$ to the symmetric group $S_{\infty}$ on a countably infinite set $X$ is continuous, where $S_{\infty}$ is given the usual pointwise topology with sub-basis $\{f\in S_{\infty}: f(x)=y\}$ over all points $x,y \in X$.
Hence automatic continuity of $G$ implies the small index property. Is an example known that shows the converse is false?