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IndexArb Values vs. Time
Nasdaq 100 MAR 2023 Futures Contract
[Index Arbitrage Program Trading Premium Values from 01-27-2023 to the Last Trade Date of 03-16-2023.]
Updated: Friday, Jan-27-2023
1:20am ET

Nasdaq 100 MAR 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)
01-27-202349 34.17 43.50 55.99 66.37 74.12 
01-30-202346 31.38 40.20 52.28 62.32 69.65 
01-31-202345 30.08 38.73 50.67 60.59 67.79 
02-01-202344 28.99 37.47 49.26 59.06 66.12 
02-02-202343 28.09 36.41 48.05 57.73 64.65 
02-03-202342 27.00 35.15 46.63 56.18 62.97 
02-06-202339 24.75 32.41 43.41 52.57 58.94 
02-07-202338 23.47 30.97 41.81 50.82 57.06 
02-08-202337 24.86 32.19 42.86 51.74 57.84 
02-09-202336 24.63 31.80 42.30 51.03 57.00 
02-10-202335 23.37 30.38 40.70 49.29 55.12 
02-13-202332 19.73 26.26 36.04 44.17 49.60 
02-14-202331 23.64 30.01 39.60 47.58 52.88 
02-15-202330 22.70 28.90 38.30 46.12 51.28 
02-16-202329 21.53 27.58 36.78 44.43 49.46 
02-17-202328 20.35 26.24 35.23 42.72 47.62 
02-21-202324 15.29 20.55 28.72 35.51 39.89 
02-22-202323 14.24 19.34 27.29 33.91 38.15 
02-23-202322 14.78 19.73 27.46 33.89 38.01 
02-24-202321 13.52 18.31 25.82 32.07 36.06 
02-27-202318 10.04 14.37 21.20 26.89 30.49 
02-28-202317 9.01 13.19 19.78 25.27 28.75 
03-01-202316 8.65 12.68 19.04 24.33 27.69 
03-02-202315 9.71 13.58 19.70 24.80 28.03 
03-03-202314 8.53 12.25 18.13 23.03 26.13 
03-06-202311 5.06 8.33 13.47 17.75 20.48 
03-07-202310 3.98 7.10 11.99 16.06 18.66 
03-08-20232.85 5.83 10.46 14.32 16.80 
03-09-20232.76 5.58 9.96 13.60 15.96 
03-10-20231.66 4.33 8.45 11.88 14.11 
03-13-2023-1.45 0.77 4.10 6.87 8.72 
03-14-2023-0.77 1.30 4.36 6.91 8.64 
03-15-2023-1.80 0.11 2.90 5.22 6.81 
03-16-2023-2.80 -1.07 1.44 3.54 4.98 

 

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