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IndexArb Values vs. Time
Dow Jones DEC 2017 Futures Contract
[Index Arbitrage Program Trading Premium Values from 11-22-2017 to the Last Trade Date of 12-14-2017.]
Updated: Tuesday, Nov-21-2017
9:05pm ET

Dow Jones DEC 2017 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)
11-22-201722 -41.19 -35.05 -26.81 -19.52 -14.07 
11-24-201721 -42.34 -36.28 -28.13 -20.88 -15.47 
11-27-201720 -37.68 -31.69 -23.64 -16.44 -11.08 
11-28-201719 -38.77 -32.86 -24.92 -17.76 -12.45 
11-29-201718 -28.54 -22.72 -14.88 -7.78 -2.51 
11-30-201715 -16.90 -11.34 -3.83 3.07 8.18 
12-01-201714 -16.47 -11.01 -3.62 3.21 8.26 
12-04-201713 -17.40 -12.03 -4.76 1.99 6.98 
12-05-201712 -18.30 -13.02 -5.88 0.79 5.72 
12-06-201711 -19.17 -14.00 -6.98 -0.39 4.47 
12-07-2017-18.12 -13.25 -6.64 -0.32 4.33 
12-08-2017-13.92 -9.16 -2.69 3.53 8.10 
12-11-2017-14.66 -10.01 -3.68 2.44 6.93 
12-12-2017-15.38 -10.84 -4.65 1.36 5.78 
12-13-2017-10.20 -5.78 0.26 6.16 10.49 
12-14-2017-8.64 -4.74 0.86 6.42 10.30 

 

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