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IndexArb Values vs. Time
Nasdaq 100 DEC 2023 Futures Contract
[Index Arbitrage Program Trading Premium Values from 09-25-2023 to the Last Trade Date of 12-14-2023.]
Updated: Friday, Sept-22-2023
11:20pm ET

Nasdaq 100 DEC 2023 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)
09-25-202381 143.86 150.21 158.79 171.55 181.00 
09-26-202380 141.48 147.79 156.40 169.09 178.39 
09-27-202379 139.10 145.38 154.01 166.62 175.78 
09-28-202378 137.85 144.09 152.75 165.27 174.29 
09-29-202377 135.48 141.69 150.37 162.81 171.69 
10-02-202374 128.41 134.49 143.23 155.41 163.88 
10-03-202373 129.61 135.66 144.41 156.50 164.84 
10-04-202372 127.27 133.27 142.03 154.03 162.24 
10-05-202371 125.31 131.27 140.05 151.95 160.03 
10-06-202370 122.98 128.89 137.67 149.49 157.44 
10-09-202367 115.99 121.77 130.56 142.09 149.66 
10-10-202366 113.83 119.56 128.36 139.78 147.23 
10-11-202365 111.51 117.20 125.99 137.32 144.64 
10-12-202364 109.20 114.84 123.63 134.85 142.05 
10-13-202363 106.90 112.48 121.26 132.38 139.46 
10-16-202360 100.00 105.44 114.18 124.99 131.71 
10-17-202359 97.71 103.10 111.82 122.52 129.12 
10-18-202358 95.43 100.76 109.47 120.06 126.54 
10-19-202357 93.17 98.44 107.13 117.61 123.98 
10-20-202356 90.89 96.11 104.77 115.14 121.40 
10-23-202353 84.09 89.15 97.72 107.75 113.67 
10-24-202352 81.83 86.84 95.37 105.29 111.10 
10-25-202351 79.58 84.53 93.03 102.82 108.52 
10-26-202350 78.16 83.05 91.51 101.19 106.78 
10-27-202349 75.92 80.75 89.17 98.72 104.21 
10-30-202346 70.71 75.37 83.64 92.83 98.01 
10-31-202345 68.89 73.49 81.71 90.78 95.85 
11-01-202344 66.67 71.21 79.37 88.31 93.29 
11-02-202343 64.59 69.07 77.17 85.98 90.86 
11-03-202342 62.63 67.05 75.09 83.78 88.55 
11-06-202339 56.68 60.92 68.76 77.05 81.54 
11-07-202338 54.48 58.67 66.43 74.59 78.98 
11-08-202337 53.83 57.96 65.64 73.66 77.96 
11-09-202336 53.89 57.95 65.56 73.44 77.65 
11-10-202335 51.71 55.71 63.23 70.98 75.09 
11-13-202332 45.19 49.00 56.26 63.59 67.44 
11-14-202331 44.74 48.49 55.66 62.84 66.60 
11-15-202330 46.08 49.78 56.84 63.88 67.56 
11-16-202329 46.19 49.82 56.79 63.67 67.27 
11-17-202328 44.14 47.71 54.56 61.30 64.81 
11-20-202325 37.48 40.87 47.38 53.66 56.92 
11-21-202324 35.78 39.10 45.49 51.62 54.80 
11-22-202323 34.56 37.82 44.09 50.06 53.17 
11-24-202321 30.23 33.36 39.38 45.04 47.99 
11-27-202318 23.81 26.76 32.37 37.55 40.28 
11-28-202317 21.69 24.59 30.05 35.07 37.73 
11-29-202316 20.00 22.83 28.15 33.01 35.59 
11-30-202315 21.43 24.20 29.37 34.07 36.58 
12-01-202314 19.89 22.61 27.63 32.16 34.60 
12-04-202311 13.77 16.30 20.85 24.88 27.13 
12-05-202310 11.73 14.21 18.59 22.46 24.64 
12-06-20239.85 12.27 16.49 20.18 22.30 
12-07-20238.56 10.92 14.96 18.49 20.54 
12-08-20236.56 8.85 12.73 16.08 18.07 
12-11-20230.62 2.74 6.07 8.91 10.71 
12-12-2023-0.99 1.07 4.21 6.88 8.62 
12-13-2023-2.92 -0.93 2.02 4.51 6.18 
12-14-2023-2.47 -0.58 2.18 4.49 6.07 

 

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