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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 05-13-2024 to the Last Trade Date of 09-19-2024.]
Updated: Saturday, May-11-2024
2:50pm 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)
05-13-2024130 67.04 70.26 74.63 79.96 83.89 
05-14-2024129 67.10 70.30 74.63 79.92 83.83 
05-15-2024128 67.38 70.55 74.85 80.10 83.97 
05-16-2024127 67.78 70.93 75.19 80.40 84.25 
05-17-2024126 67.30 70.42 74.66 79.83 83.65 
05-20-2024123 65.66 68.71 72.85 77.91 81.64 
05-21-2024122 65.14 68.17 72.28 77.29 81.00 
05-22-2024121 64.65 67.66 71.73 76.70 80.38 
05-23-2024120 64.18 67.17 71.21 76.15 79.79 
05-24-2024119 63.49 66.46 70.47 75.36 78.98 
05-28-2024115 60.75 63.62 67.50 72.24 75.75 
05-29-2024114 60.12 62.96 66.81 71.51 74.99 
05-30-2024113 59.66 62.48 66.30 70.95 74.40 
05-31-2024112 59.66 62.46 66.24 70.86 74.28 
06-03-2024109 58.01 60.74 64.43 68.93 72.26 
06-04-2024108 57.54 60.24 63.90 68.36 71.66 
06-05-2024107 56.98 59.66 63.28 67.70 70.97 
06-06-2024106 56.64 59.30 62.88 67.26 70.51 
06-07-2024105 56.81 59.44 63.00 67.34 70.56 
06-10-2024102 55.16 57.72 61.18 65.40 68.53 
06-11-2024101 54.44 56.98 60.41 64.59 67.69 
06-12-2024100 53.89 56.40 59.79 63.93 67.00 
06-13-202499 53.25 55.74 59.10 63.20 66.24 
06-14-202498 53.71 56.17 59.50 63.56 66.57 
06-17-202495 52.28 54.67 57.90 61.84 64.76 
06-18-202494 51.61 53.98 57.18 61.08 63.97 
06-20-202492 50.29 52.61 55.74 59.56 62.40 
06-21-202491 50.03 52.33 55.43 59.21 62.01 
06-24-202488 48.17 50.39 53.39 57.05 59.76 
06-25-202487 47.47 49.68 52.64 56.26 58.95 
06-26-202486 46.75 48.93 51.86 55.44 58.10 
06-27-202485 46.08 48.24 51.13 54.67 57.30 
06-28-202484 45.90 48.03 50.89 54.39 56.99 
07-01-202481 43.99 46.05 48.81 52.18 54.70 
07-02-202480 43.28 45.31 48.04 51.37 53.85 
07-03-202479 42.69 44.70 47.40 50.69 53.14 
07-05-202477 42.19 44.15 46.78 49.99 52.38 
07-08-202474 40.16 42.05 44.58 47.67 49.97 
07-09-202473 39.52 41.38 43.88 46.93 49.20 
07-10-202472 39.47 41.30 43.77 46.78 49.02 
07-11-202471 38.73 40.55 42.98 45.94 48.16 
07-12-202470 38.00 39.79 42.19 45.11 47.29 
07-15-202467 36.37 38.09 40.38 43.19 45.28 
07-16-202466 35.71 37.40 39.66 42.43 44.49 
07-17-202465 35.04 36.70 38.93 41.65 43.69 
07-18-202464 34.40 36.04 38.23 40.91 42.91 
07-19-202463 34.02 35.63 37.80 40.44 42.41 
07-22-202460 31.90 33.44 35.50 38.02 39.89 
07-23-202459 31.23 32.74 34.77 37.24 39.09 
07-24-202458 30.56 32.05 34.05 36.48 38.30 
07-25-202457 29.87 31.33 33.29 35.69 37.47 
07-26-202456 29.29 30.73 32.66 35.01 36.77 
07-29-202453 27.14 28.51 30.33 32.56 34.22 
07-30-202452 26.40 27.74 29.53 31.71 33.35 
07-31-202451 26.09 27.41 29.16 31.31 32.91 
08-01-202450 25.49 26.78 28.50 30.61 32.18 
08-02-202449 25.25 26.51 28.20 30.26 31.81 
08-05-202446 23.37 24.56 26.15 28.09 29.54 
08-06-202445 22.62 23.78 25.34 27.23 28.65 
08-07-202444 21.93 23.09 24.64 26.54 27.96 
08-08-202443 21.17 22.33 23.89 25.78 27.20 
08-09-202442 20.86 22.02 23.57 25.47 26.89 
08-12-202439 18.99 20.15 21.70 23.60 25.02 
08-13-202438 18.74 19.89 21.42 23.28 24.67 
08-14-202437 18.09 19.22 20.73 22.55 23.92 
08-15-202436 18.42 19.53 21.02 22.81 24.15 
08-16-202435 18.37 19.47 20.93 22.69 24.00 
08-19-202432 16.87 17.92 19.32 20.97 22.20 
08-20-202431 16.14 17.17 18.55 20.16 21.37 
08-21-202430 15.49 16.50 17.86 19.43 20.61 
08-22-202429 14.83 15.83 17.16 18.70 19.86 
08-23-202428 14.28 15.26 16.57 18.08 19.20 
08-26-202425 11.96 12.89 14.13 15.53 16.58 
08-27-202424 11.60 12.51 13.72 15.09 16.12 
08-28-202423 10.78 11.67 12.86 14.20 15.20 
08-29-202422 10.00 10.88 12.05 13.35 14.32 
08-30-202421 9.86 10.71 11.85 13.12 14.07 
09-03-202417 7.30 8.08 9.13 10.26 11.11 
09-04-202416 6.58 7.34 8.36 9.46 10.29 
09-05-202415 6.15 6.89 7.89 8.96 9.76 
09-06-202414 6.34 7.07 8.04 9.07 9.85 
09-09-202411 4.29 4.95 5.85 6.79 7.49 
09-10-202410 3.94 4.59 5.46 6.37 7.05 
09-11-20249 3.22 3.84 4.68 5.56 6.22 
09-12-20248 2.64 3.24 4.06 4.91 5.54 
09-13-20247 2.31 2.90 3.69 4.50 5.11 
09-16-20244 1.59 2.11 2.82 3.54 4.08 
09-17-20243 0.91 1.41 2.10 2.79 3.30 
09-18-20242 0.19 0.67 1.33 1.99 2.48 
09-19-20241 -0.50 -0.05 0.58 1.21 1.66 

 
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