|
|
Distant Months Contracts
[Index Arbitrage Program Trading Premium Values for
S&P 500, Nasdaq 100, and Dow Jones Ind. Avg. index futures contracts]
for Feb-06-2012 |
Updated: Friday, Feb-03-2012
11:55pm ET |
| |
Sell Programs |
No Programs |
Buy Programs |
|
| Index Futures |
Sell
Active (SA) |
Sell
Threshold (ST) |
Fair Value
(Premium) (FV) |
Buy
Threshold (BT) |
Buy
Active (BA) |
Graph
Link |
| S&P 500 |
|
|
|
|
|
|
| MAR 2012 |
-5.91 |
-4.95 |
-3.66 |
-2.63 |
-1.86 |
|
| JUN 2012 |
-15.83 |
-13.00 |
-9.21 |
-6.18 |
-3.92 |
|
| SEP 2012 |
-27.02 |
-22.08 |
-15.48 |
-10.20 |
-6.25 |
|
| DEC 2012 |
-38.01 |
-31.07 |
-21.80 |
-14.39 |
-8.83 |
|
| Nasdaq 100 |
|
|
|
|
|
|
| MAR 2012 |
-11.90 |
-7.98 |
-2.73 |
2.08 |
5.66 |
|
| JUN 2012 |
-35.31 |
-23.31 |
-6.86 |
8.26 |
19.30 |
|
| SEP 2012 |
-60.05 |
-38.97 |
-10.46 |
15.74 |
35.12 |
|
| Dow Jones |
|
|
|
|
|
|
| MAR 2012 |
-99.04 |
-79.08 |
-52.16 |
-31.08 |
-15.44 |
|
| JUN 2012 |
-261.58 |
-202.30 |
-121.41 |
-58.03 |
-11.58 |
|
| SEP 2012 |
-437.39 |
-333.98 |
-194.35 |
-84.95 |
-3.93 |
|
|
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