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IndexArb Values vs. Time
Nasdaq 100 DEC 2019 Futures Contract
[Index Arbitrage Program Trading Premium Values from 07-23-2019 to the Last Trade Date of 12-19-2019.]
Updated: Monday, July-22-2019
6:15pm ET

Nasdaq 100 DEC 2019 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)
07-23-2019150 13.71 25.70 41.74 54.62 64.25 
07-24-2019149 13.62 25.54 41.48 54.29 63.86 
07-25-2019148 13.40 25.25 41.11 53.84 63.36 
07-26-2019147 13.14 24.92 40.68 53.33 62.79 
07-29-2019144 12.35 23.91 39.37 51.79 61.08 
07-30-2019143 12.76 24.24 39.61 51.94 61.17 
07-31-2019142 12.78 24.19 39.45 51.71 60.88 
08-01-2019141 12.53 23.88 39.04 51.22 60.33 
08-02-2019140 12.26 23.53 38.60 50.70 59.75 
08-05-2019137 11.45 22.50 37.26 49.12 58.00 
08-06-2019136 12.64 23.62 38.28 50.06 58.88 
08-07-2019135 12.82 23.73 38.29 49.99 58.75 
08-08-2019134 12.86 23.69 38.16 49.78 58.47 
08-09-2019133 15.76 26.51 40.88 52.42 61.06 
08-12-2019130 14.91 25.45 39.51 50.81 59.27 
08-13-2019129 17.68 28.14 42.10 53.32 61.72 
08-14-2019128 18.34 28.73 42.59 53.72 62.07 
08-15-2019127 18.51 28.82 42.58 53.63 61.92 
08-16-2019126 18.22 28.46 42.12 53.09 61.31 
08-19-2019123 17.75 27.76 41.12 51.85 59.89 
08-20-2019122 17.54 27.48 40.73 51.38 59.36 
08-21-2019121 17.69 27.55 40.71 51.27 59.19 
08-22-2019120 17.48 27.27 40.32 50.81 58.67 
08-23-2019119 17.15 26.85 39.80 50.19 57.99 
08-26-2019116 16.06 25.52 38.13 48.26 55.85 
08-27-2019115 15.68 25.06 37.56 47.60 55.13 
08-28-2019114 15.31 24.60 36.99 46.94 54.40 
08-29-2019113 15.47 24.68 36.96 46.82 54.21 
08-30-2019112 15.21 24.33 36.50 46.28 53.61 
09-03-2019108 14.40 23.19 34.92 44.34 51.41 
09-04-2019107 14.11 22.82 34.44 43.77 50.77 
09-05-2019106 15.02 23.65 35.16 44.40 51.33 
09-06-2019105 14.65 23.19 34.59 43.75 50.61 
09-09-2019102 13.52 21.82 32.89 41.78 48.44 
09-10-2019101 13.30 21.51 32.47 41.27 47.87 
09-11-2019100 12.92 21.06 31.90 40.62 47.15 
09-12-201999 12.90 20.95 31.69 40.31 46.78 
09-13-201998 13.39 21.35 31.98 40.52 46.92 
09-16-201995 12.26 19.98 30.28 38.56 44.76 
09-17-201994 12.92 20.55 30.74 38.93 45.06 
09-18-201993 12.73 20.29 30.37 38.47 44.53 
09-19-201992 12.36 19.83 29.80 37.81 43.81 
09-20-201991 11.99 19.38 29.24 37.16 43.09 
09-23-201988 10.86 18.01 27.54 35.20 40.93 
09-24-201987 10.49 17.55 26.97 34.54 40.21 
09-25-201986 10.12 17.09 26.41 33.89 39.49 
09-26-201985 9.74 16.64 25.84 33.24 38.77 
09-27-201984 9.97 16.78 25.88 33.18 38.66 
09-30-201981 8.85 15.42 24.18 31.23 36.50 
10-01-201980 9.36 15.84 24.50 31.45 36.66 
10-02-201979 8.98 15.39 23.93 30.80 35.94 
10-03-201978 8.61 14.93 23.37 30.15 35.23 
10-04-201977 9.67 15.91 24.23 30.92 35.94 
10-07-201974 8.55 14.54 22.54 28.97 33.79 
10-08-201973 8.18 14.09 21.98 28.32 33.07 
10-09-201972 7.94 13.77 21.55 27.80 32.49 
10-10-201971 7.67 13.42 21.10 27.26 31.88 
10-11-201970 7.30 12.97 20.53 26.61 31.16 
10-14-201967 6.19 11.61 18.85 24.66 29.02 
10-15-201966 5.82 11.16 18.29 24.01 28.30 
10-16-201965 5.45 10.70 17.72 23.36 27.59 
10-17-201964 5.07 10.25 17.16 22.71 26.87 
10-18-201963 4.70 9.80 16.60 22.06 26.16 
10-21-201960 3.53 8.39 14.92 20.16 24.07 
10-22-201959 3.11 7.90 14.36 19.55 23.40 
10-23-201958 2.68 7.40 13.80 18.94 22.74 
10-24-201957 2.37 7.02 13.35 18.45 22.20 
10-25-201956 1.94 6.52 12.79 17.85 21.54 
10-28-201953 0.66 5.03 11.11 16.02 19.55 
10-29-201952 0.23 4.54 10.55 15.41 18.89 
10-30-201951 0.57 4.81 10.76 15.56 18.99 
10-31-201950 0.43 4.61 10.49 15.24 18.62 
11-01-201949 0.04 4.15 9.97 14.67 18.00 
11-04-201946 -1.24 2.68 8.29 12.84 16.02 
11-05-201945 -1.67 2.19 7.73 12.23 15.36 
11-06-201944 -0.78 3.02 8.49 12.93 16.01 
11-07-201943 2.16 5.89 11.29 15.68 18.71 
11-08-201942 1.78 5.45 10.79 15.12 18.10 
11-11-201939 0.51 3.99 9.11 13.28 16.12 
11-12-201938 0.08 3.51 8.56 12.67 15.46 
11-13-201937 -0.34 3.02 8.00 12.06 14.80 
11-14-201936 1.51 4.81 9.72 13.72 16.41 
11-15-201935 1.25 4.50 9.33 13.27 15.93 
11-18-201932 0.05 3.12 7.73 11.50 14.01 
11-19-201931 -0.38 2.64 7.18 10.88 13.35 
11-20-201930 2.80 5.76 10.22 13.87 16.29 
11-21-201929 3.04 5.95 10.33 13.91 16.30 
11-22-201928 2.78 5.63 9.94 13.46 15.80 
11-25-201925 1.46 4.15 8.22 11.56 13.77 
11-26-201924 1.03 3.66 7.65 10.93 13.09 
11-27-201923 0.90 3.48 7.39 10.61 12.73 
11-29-201921 0.85 3.32 7.08 10.17 12.20 
12-02-201918 -0.44 1.89 5.40 8.29 10.21 
12-03-201917 -0.86 1.41 4.84 7.67 9.54 
12-04-201916 -1.29 0.94 4.29 7.05 8.88 
12-05-201915 -0.15 2.03 5.29 7.99 9.78 
12-06-201914 -0.57 1.56 4.74 7.37 9.13 
12-09-201911 -1.82 0.16 3.10 5.53 7.16 
12-10-201910 -2.07 -0.14 2.71 5.07 6.67 
12-11-2019-2.48 -0.60 2.17 4.46 6.02 
12-12-2019-2.54 -0.71 1.98 4.20 5.72 
12-13-2019-0.79 0.99 3.59 5.75 7.23 
12-16-2019-1.92 -0.28 2.06 4.01 5.38 
12-17-2019-2.26 -0.67 1.59 3.46 4.79 
12-18-2019-2.65 -1.12 1.06 2.86 4.14 
12-19-2019-3.00 -1.56 0.53 2.26 3.46 

 

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