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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 05-07-2024 to the Last Trade Date of 09-19-2024.]
Updated: Monday, May-06-2024
9:50pm 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)
05-07-2024138 67.83 72.28 78.30 86.16 91.98 
05-08-2024137 67.15 71.57 77.54 85.35 91.13 
05-09-2024134 66.09 70.41 76.25 83.89 89.55 
05-10-2024133 66.24 70.54 76.33 83.91 89.53 
05-13-2024132 65.64 69.91 75.66 83.19 88.76 
05-14-2024131 65.66 69.89 75.60 83.07 88.61 
05-15-2024130 65.97 70.17 75.84 83.25 88.75 
05-16-2024127 65.15 69.26 74.80 82.05 87.42 
05-17-2024126 64.69 68.77 74.27 81.46 86.79 
05-20-2024125 64.41 68.45 73.91 81.04 86.33 
05-21-2024124 63.90 67.92 73.33 80.41 85.66 
05-22-2024123 63.43 67.41 72.78 79.80 85.01 
05-23-2024119 60.84 64.69 69.89 76.69 81.73 
05-24-2024118 60.16 63.99 69.15 75.89 80.89 
05-28-2024117 59.58 63.38 68.49 75.18 80.14 
05-29-2024116 58.97 62.73 67.80 74.43 79.35 
05-30-2024113 57.15 60.82 65.77 72.23 77.02 
05-31-2024112 57.14 60.78 65.68 72.08 76.84 
06-03-2024111 56.93 60.54 65.39 71.74 76.46 
06-04-2024110 56.47 60.05 64.86 71.15 75.83 
06-05-2024109 55.94 59.48 64.25 70.49 75.12 
06-06-2024106 54.24 57.69 62.33 68.39 72.90 
06-07-2024105 54.48 57.90 62.49 68.51 72.97 
06-10-2024104 54.30 57.69 62.24 68.19 72.62 
06-11-2024103 53.61 56.96 61.47 67.37 71.76 
06-12-2024102 53.02 56.35 60.81 66.66 71.00 
06-13-202499 51.02 54.25 58.58 64.26 68.48 
06-14-202498 51.66 54.86 59.15 64.77 68.94 
06-17-202496 50.88 54.01 58.22 63.72 67.82 
06-18-202495 50.23 53.33 57.50 62.95 67.00 
06-20-202492 48.24 51.25 55.28 60.56 64.49 
06-21-202491 48.01 50.98 54.97 60.19 64.08 
06-24-202490 47.60 50.54 54.49 59.65 63.50 
06-25-202489 46.93 49.84 53.75 58.85 62.65 
06-26-202488 46.23 49.11 52.97 58.02 61.78 
06-27-202485 44.17 46.95 50.69 55.57 59.20 
06-28-202484 44.02 46.77 50.46 55.28 58.88 
07-01-202483 43.57 46.29 49.93 54.70 58.25 
07-02-202481 42.17 44.82 48.38 53.04 56.51 
07-03-202478 40.20 42.75 46.18 50.67 54.01 
07-05-202477 40.44 42.97 46.35 50.78 54.08 
07-08-202476 39.89 42.38 45.73 50.10 53.35 
07-09-202475 39.27 41.73 45.03 49.34 52.56 
07-10-202474 39.24 41.67 44.93 49.18 52.36 
07-11-202471 37.11 39.44 42.56 46.65 49.70 
07-12-202470 36.39 38.69 41.78 45.80 48.81 
07-15-202469 36.26 38.53 41.56 45.54 48.50 
07-16-202468 35.62 37.86 40.85 44.76 47.69 
07-17-202467 34.97 37.17 40.12 43.98 46.86 
07-18-202464 32.92 35.02 37.84 41.53 44.28 
07-19-202463 32.56 34.63 37.41 41.04 43.75 
07-22-202462 31.94 33.98 36.71 40.28 42.95 
07-23-202461 31.29 33.30 35.99 39.50 42.13 
07-24-202460 30.65 32.63 35.27 38.73 41.31 
07-25-202457 28.54 30.41 32.93 36.22 38.67 
07-26-202456 27.98 29.83 32.30 35.53 37.94 
07-29-202455 27.34 29.16 31.58 34.75 37.12 
07-30-202454 26.62 28.40 30.78 33.90 36.23 
07-31-202453 26.34 28.09 30.43 33.48 35.77 
08-01-202450 24.31 25.96 28.17 31.05 33.21 
08-02-202449 24.09 25.71 27.87 30.70 32.81 
08-05-202448 23.74 25.32 27.44 30.21 32.28 
08-06-202447 23.01 24.56 26.64 29.35 31.38 
08-07-202446 22.37 23.90 25.95 28.61 30.60 
08-08-202443 20.14 21.62 23.59 26.10 27.98 
08-09-202442 19.88 21.33 23.28 25.74 27.58 
08-12-202441 19.69 21.12 23.04 25.45 27.26 
08-13-202440 19.40 20.82 22.71 25.07 26.84 
08-14-202439 18.76 20.16 22.02 24.34 26.07 
08-15-202436 17.59 18.92 20.70 22.87 24.49 
08-16-202435 17.56 18.87 20.62 22.74 24.33 
08-19-202434 17.64 18.93 20.65 22.72 24.27 
08-20-202433 16.93 18.19 19.89 21.91 23.43 
08-21-202432 16.36 17.60 19.27 21.25 22.73 
08-22-202429 14.14 15.31 16.89 18.73 20.11 
08-23-202428 13.61 14.76 16.31 18.10 19.44 
08-26-202427 12.97 14.10 15.61 17.36 18.67 
08-27-202426 12.62 13.73 15.21 16.91 18.19 
08-28-202425 11.81 12.90 14.35 16.01 17.25 
08-29-202421 8.67 9.66 10.98 12.46 13.57 
08-30-202420 8.55 9.51 10.80 12.24 13.31 
09-03-202419 8.42 9.36 10.62 12.01 13.05 
09-04-202418 7.71 8.62 9.85 11.20 12.20 
09-05-202415 5.76 6.60 7.73 8.94 9.85 
09-06-202414 6.04 6.86 7.95 9.13 10.01 
09-09-202413 5.56 6.35 7.41 8.54 9.39 
09-10-202412 5.22 5.99 7.02 8.11 8.92 
09-11-202411 4.51 5.25 6.24 7.29 8.07 
09-12-20248 2.47 3.13 4.02 4.94 5.63 
09-13-20247 2.17 2.80 3.65 4.54 5.19 
09-16-20246 2.95 3.56 4.38 5.22 5.84 
09-17-20245 2.29 2.87 3.65 4.45 5.04 
09-18-20244 1.58 2.13 2.88 3.64 4.20 
09-19-20241 -0.51 -0.06 0.58 1.22 1.68 

 
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