Suppose $I$ is a set and you have a collection $\{ S_{\alpha}\, :\, \alpha \in I \}$ of sets indexed by $I$. For example, if $I=\{1,2,3\}$ then your collection of sets would be $\{ S_1, S_2, S_3 \}$. Then we define the union of all the $S_{\alpha}$ for $\alpha \in I$ by:
$$\bigcup_{\alpha \in I} S_{\alpha} = \{ x\, :\, x \in S_{\alpha}\ \text{for some}\ \alpha \in I \}$$
It's the set of all those things that appear in at least one of the $S_{\alpha}$s. So for example if $I=\{1,2,3\}$ then
$$\bigcup_{\alpha \in I} S_{\alpha} = \bigcup_{\alpha=1}^3 S_{\alpha} = S_1 \cup S_2 \cup S_3$$
The intersection is similar:
$$\bigcap_{\alpha \in I} S_{\alpha}= \{ x\, :\, x \in S_{\alpha}\ \text{for all}\ \alpha \in I \}$$
As for how you read it, that's up to you really, as long as it's clear. Common ways include:
- the union over all $\alpha$ in $I$ of $S_{\alpha}$
- the union of all the $S_{\alpha}$ for $\alpha$ in $I$
- the union of all the $S_{\alpha}$s $\qquad \leftarrow$ if $I$ is clear from context