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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 05-16-2024 to the Last Trade Date of 09-19-2024.]
Updated: Wednesday, May-15-2024
9:45pm 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)
05-16-2024127 70.77 73.83 78.07 82.36 85.45 
05-17-2024126 70.25 73.29 77.50 81.75 84.82 
05-20-2024123 68.63 71.61 75.72 79.89 82.90 
05-21-2024122 68.10 71.05 75.14 79.28 82.27 
05-22-2024121 67.63 70.57 74.63 78.73 81.71 
05-23-2024120 67.14 70.06 74.09 78.16 81.12 
05-24-2024119 66.47 69.37 73.38 77.42 80.35 
05-28-2024115 63.88 66.70 70.58 74.51 77.36 
05-29-2024114 63.27 66.07 69.92 73.82 76.65 
05-30-2024113 62.85 65.63 69.45 73.32 76.13 
05-31-2024112 62.87 65.63 69.42 73.26 76.05 
06-03-2024109 61.24 63.94 67.65 71.39 74.12 
06-04-2024108 60.78 63.46 67.14 70.85 73.56 
06-05-2024107 60.15 62.81 66.45 70.14 72.83 
06-06-2024106 59.82 62.46 66.08 69.73 72.40 
06-07-2024105 60.09 62.71 66.30 69.92 72.57 
06-10-2024102 58.47 61.03 64.52 68.06 70.64 
06-11-2024101 57.77 60.30 63.77 67.27 69.83 
06-12-2024100 57.22 59.74 63.17 66.64 69.18 
06-13-202499 56.60 59.09 62.49 65.93 68.45 
06-14-202498 57.07 59.54 62.91 66.32 68.82 
06-17-202495 55.65 58.05 61.33 64.65 67.08 
06-18-202494 54.98 57.37 60.62 63.90 66.31 
06-20-202492 53.68 56.02 59.21 62.43 64.79 
06-21-202491 53.41 55.73 58.88 62.07 64.42 
06-24-202488 51.54 53.79 56.85 59.94 62.22 
06-25-202487 50.85 53.07 56.10 59.17 61.42 
06-26-202486 50.13 52.33 55.33 58.36 60.59 
06-27-202485 49.50 51.68 54.65 57.65 59.86 
06-28-202484 49.34 51.50 54.44 57.40 59.59 
07-01-202481 47.38 49.48 52.31 55.18 57.30 
07-02-202480 46.66 48.73 51.54 54.38 56.47 
07-03-202479 46.08 48.13 50.90 53.71 55.78 
07-05-202477 45.51 47.51 50.22 52.96 54.99 
07-08-202474 43.45 45.38 47.99 50.63 52.58 
07-09-202473 42.78 44.69 47.27 49.88 51.81 
07-10-202472 42.71 44.60 47.15 49.72 51.63 
07-11-202471 41.97 43.83 46.34 48.88 50.77 
07-12-202470 41.22 43.06 45.54 48.05 49.90 
07-15-202467 39.54 41.30 43.69 46.09 47.88 
07-16-202466 38.86 40.60 42.95 45.32 47.09 
07-17-202465 38.16 39.88 42.20 44.54 46.28 
07-18-202464 37.50 39.20 41.48 43.79 45.50 
07-19-202463 37.10 38.77 41.02 43.30 44.99 
07-22-202460 34.91 36.51 38.65 40.83 42.44 
07-23-202459 34.21 35.79 37.90 40.04 41.63 
07-24-202458 33.52 35.07 37.15 39.26 40.82 
07-25-202457 32.80 34.32 36.37 38.44 39.98 
07-26-202456 32.20 33.70 35.71 37.75 39.26 
07-29-202453 29.96 31.38 33.30 35.23 36.67 
07-30-202452 29.18 30.58 32.46 34.36 35.77 
07-31-202451 28.85 30.22 32.06 33.93 35.32 
08-01-202450 28.21 29.56 31.37 33.20 34.56 
08-02-202449 27.93 29.26 31.03 32.83 34.17 
08-05-202446 25.95 27.20 28.87 30.56 31.83 
08-06-202445 25.17 26.39 28.03 29.68 30.92 
08-07-202444 24.44 25.66 27.30 28.95 30.19 
08-08-202443 23.64 24.86 26.50 28.15 29.39 
08-09-202442 23.28 24.51 26.14 27.80 29.03 
08-12-202439 21.29 22.51 24.15 25.80 27.04 
08-13-202438 20.96 22.19 23.82 25.48 26.71 
08-14-202437 20.23 21.45 23.08 24.74 25.98 
08-15-202436 20.47 21.69 23.33 24.98 26.22 
08-16-202435 20.39 21.59 23.20 24.82 26.04 
08-19-202432 18.78 19.92 21.44 22.97 24.12 
08-20-202431 18.01 19.13 20.62 22.12 23.25 
08-21-202430 17.25 18.34 19.81 21.28 22.39 
08-22-202429 16.49 17.56 19.00 20.45 21.53 
08-23-202428 15.78 16.84 18.24 19.66 20.72 
08-26-202425 13.18 14.17 15.49 16.82 17.81 
08-27-202424 12.73 13.69 14.99 16.29 17.26 
08-28-202423 11.82 12.77 14.03 15.30 16.25 
08-29-202422 10.97 11.89 13.12 14.37 15.30 
08-30-202421 10.74 11.64 12.85 14.06 14.97 
09-03-202417 7.91 8.72 9.81 10.91 11.73 
09-04-202416 7.12 7.92 8.98 10.04 10.84 
09-05-202415 6.64 7.41 8.44 9.48 10.25 
09-06-202414 6.77 7.52 8.52 9.53 10.29 
09-09-202411 4.57 5.26 6.17 7.09 7.78 
09-10-202410 4.18 4.85 5.74 6.63 7.29 
09-11-20249 3.42 4.06 4.92 5.78 6.42 
09-12-20248 2.80 3.42 4.25 5.09 5.71 
09-13-20247 2.45 3.05 3.85 4.65 5.25 
09-16-20244 1.64 2.18 2.89 3.61 4.14 
09-17-20243 0.95 1.46 2.14 2.83 3.34 
09-18-20242 0.21 0.70 1.36 2.01 2.50 
09-19-20241 -0.49 -0.04 0.59 1.22 1.67 

 
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