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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 05-17-2024 to the Last Trade Date of 09-19-2024.]
Updated: Thursday, May-16-2024
11:55pm ET

S&P 500 SEP 2024 Arb Values to Contract End

 
Data Table for the Above Graph
[Note that the following values change daily].
 Date
 (Trading  days only)		 Number
of Days
to End		 Sell
Active
(SA)		 Sell
Threshold
(ST)		 Fair Value
Premium
(FV)		 Buy
Threshold
(BT)		 Buy
Active
(BA)
05-17-2024126 64.08 68.94 75.56 80.54 84.19 
05-20-2024123 62.49 67.25 73.71 78.57 82.15 
05-21-2024122 61.97 66.69 73.10 77.93 81.48 
05-22-2024121 61.52 66.20 72.57 77.36 80.88 
05-23-2024120 61.04 65.69 72.01 76.76 80.25 
05-24-2024119 60.39 65.00 71.27 75.99 79.46 
05-28-2024115 57.86 62.33 68.40 72.97 76.33 
05-29-2024114 57.26 61.70 67.72 72.25 75.58 
05-30-2024113 57.13 61.53 67.50 71.99 75.30 
05-31-2024112 57.17 61.53 67.45 71.91 75.19 
06-03-2024109 55.59 59.85 65.62 69.96 73.16 
06-04-2024108 55.15 59.37 65.09 69.40 72.57 
06-05-2024107 54.56 58.75 64.42 68.68 71.83 
06-06-2024106 53.97 58.12 63.74 67.97 71.09 
06-07-2024105 54.28 58.39 63.96 68.15 71.24 
06-10-2024102 52.73 56.73 62.15 66.23 69.24 
06-11-2024101 52.05 56.02 61.39 65.43 68.41 
06-12-2024100 51.50 55.43 60.75 64.75 67.71 
06-13-202499 50.90 54.79 60.06 64.02 66.96 
06-14-202498 51.38 55.24 60.45 64.38 67.28 
06-17-202495 50.04 53.79 58.85 62.66 65.48 
06-18-202494 49.44 53.15 58.16 61.94 64.73 
06-20-202492 48.20 51.84 56.75 60.45 63.18 
06-21-202491 47.92 51.52 56.38 60.04 62.75 
06-24-202488 46.14 49.63 54.34 57.89 60.51 
06-25-202487 45.48 48.94 53.60 57.10 59.70 
06-26-202486 44.80 48.22 52.83 56.29 58.86 
06-27-202485 44.21 47.59 52.14 55.57 58.11 
06-28-202484 44.09 47.43 51.93 55.32 57.84 
07-01-202481 42.24 45.47 49.82 53.09 55.52 
07-02-202480 41.56 44.75 49.05 52.28 54.69 
07-03-202479 41.03 44.18 48.43 51.62 54.00 
07-05-202477 40.53 43.61 47.75 50.87 53.19 
07-08-202474 38.59 41.56 45.55 48.55 50.78 
07-09-202473 37.97 40.90 44.83 47.80 50.00 
07-10-202472 37.95 40.84 44.72 47.64 49.82 
07-11-202471 37.25 40.10 43.93 46.81 48.96 
07-12-202470 36.54 39.36 43.13 45.98 48.09 
07-15-202467 35.00 37.70 41.32 44.05 46.08 
07-16-202466 34.37 37.03 40.60 43.29 45.29 
07-17-202465 33.72 36.35 39.86 42.51 44.48 
07-18-202464 33.11 35.69 39.16 41.77 43.71 
07-19-202463 32.76 35.31 38.72 41.29 43.20 
07-22-202460 30.72 33.15 36.41 38.85 40.68 
07-23-202459 30.08 32.47 35.67 38.08 39.88 
07-24-202458 29.44 31.79 34.94 37.31 39.08 
07-25-202457 28.77 31.08 34.18 36.51 38.25 
07-26-202456 28.23 30.50 33.54 35.83 37.54 
07-29-202453 26.15 28.31 31.19 33.36 34.99 
07-30-202452 25.43 27.55 30.38 32.51 34.10 
07-31-202451 25.15 27.23 30.01 32.10 33.66 
08-01-202450 24.58 26.61 29.34 31.39 32.92 
08-02-202449 24.36 26.36 29.03 31.04 32.54 
08-05-202446 22.56 24.44 26.95 28.84 30.26 
08-06-202445 21.83 23.67 26.13 27.98 29.37 
08-07-202444 21.13 22.97 25.43 27.28 28.66 
08-08-202443 20.36 22.20 24.66 26.51 27.90 
08-09-202442 20.04 21.88 24.34 26.19 27.57 
08-12-202439 18.14 19.97 22.43 24.28 25.67 
08-13-202438 17.85 19.69 22.14 23.99 25.38 
08-14-202437 17.14 18.98 21.44 23.29 24.67 
08-15-202436 17.42 19.26 21.72 23.57 24.95 
08-16-202435 17.32 19.16 21.62 23.47 24.85 
08-19-202432 15.98 17.68 19.97 21.73 23.04 
08-20-202431 15.29 16.96 19.19 20.91 22.20 
08-21-202430 14.68 16.30 18.48 20.17 21.43 
08-22-202429 14.06 15.64 17.76 19.42 20.66 
08-23-202428 13.49 15.03 17.09 18.72 19.94 
08-26-202425 11.28 12.69 14.58 16.11 17.25 
08-27-202424 10.95 12.32 14.15 15.65 16.77 
08-28-202423 10.16 11.49 13.27 14.74 15.83 
08-29-202422 9.42 10.71 12.43 13.86 14.93 
08-30-202421 9.31 10.55 12.22 13.62 14.66 
09-03-202417 6.88 7.97 9.42 10.68 11.62 
09-04-202416 6.19 7.24 8.64 9.86 10.77 
09-05-202415 5.79 6.80 8.15 9.33 10.22 
09-06-202414 6.01 6.98 8.28 9.43 10.28 
09-09-202411 4.05 4.90 6.04 7.08 7.85 
09-10-202410 3.74 4.55 5.64 6.64 7.38 
09-11-20249 3.04 3.81 4.85 5.81 6.53 
09-12-20248 2.49 3.22 4.21 5.13 5.82 
09-13-20247 2.19 2.89 3.83 4.71 5.37 
09-16-20244 1.49 2.07 2.87 3.63 4.20 
09-17-20243 0.84 1.38 2.13 2.85 3.39 
09-18-20242 0.14 0.65 1.35 2.03 2.53 
09-19-20241 -0.53 -0.06 0.59 1.23 1.69 

 
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