With infinity war now imminent, here is a rundown of the infinity stones, where they are, and what they can do.
-Space Stone (Tesseract): can transport things from one part of the universe to another via portals.
Location: possibly with Thor and Loki; formerly Asgard
-Reality Stone (Aether): can shape aspects of reality to their desire.
Location: The Collectors Museum on Knowhere. However, most of the museum sustained damage from the Orb's explosion, so the exact part of the museum it's in is unknown.
-Power Stone (The Orb): can grant the user enough power to destroy entire planets.
Location: Nova Corps HQ
-Mind Stone (formerly Loki's sceptre): grants the user enhanced intelligence as well as mind control powers.
Location: embedded in Vision's forehead.
-Time Stone (Eye of Agamotto): allows the user to manipulate time.
Location: Kamar-Taj
-Soul Stone: abilities in the Marvel Cinematic Universe still unknown. In the comics, it can grant the user the ability to resurrect the dead and manipulate souls.
Location: unknown. However, it could be in Wakanda.
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I think the soul stone is with Heimdall. It would explain his powers and why they are so drastically different from other asgardians