Home Page
Distant Months Contracts
IndexArb Values vs. Time
Stock Performance vs. Indexes
Capitalization Analysis
Index Component Weights
Dividend Analysis
Fair Value Decomposition
Yield Curve
Program Trading Calculator
Help
Terms of Usage/Disclaimer
Contact Us
Demo of Institutional Services
To Subscribe

     Log-In:      
Institutional Subscribers
Advanced Services
IndexArb Values vs. Time
S&P 500 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

S&P 500 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)
09-25-202383 36.90 38.31 40.21 42.71 44.59 
09-26-202382 36.50 37.91 39.79 42.27 44.13 
09-27-202381 35.91 37.31 39.18 41.63 43.47 
09-28-202378 34.43 35.80 37.63 40.01 41.79 
09-29-202377 33.94 35.30 37.12 39.47 41.23 
10-02-202376 33.29 34.64 36.44 38.77 40.51 
10-03-202375 32.94 34.28 36.08 38.38 40.10 
10-04-202374 32.28 33.61 35.39 37.66 39.36 
10-05-202371 30.98 32.28 34.02 36.22 37.87 
10-06-202370 30.98 32.27 34.00 36.17 37.80 
10-09-202369 30.31 31.59 33.30 35.45 37.06 
10-10-202368 29.74 31.01 32.71 34.84 36.43 
10-11-202367 29.27 30.53 32.22 34.32 35.89 
10-12-202364 27.77 29.00 30.65 32.67 34.19 
10-13-202363 27.12 28.34 29.97 31.97 33.47 
10-16-202362 26.58 27.79 29.41 31.38 32.86 
10-17-202361 25.91 27.11 28.71 30.66 32.12 
10-18-202360 25.24 26.43 28.02 29.95 31.39 
10-19-202357 23.61 24.76 26.31 28.16 29.55 
10-20-202356 23.08 24.22 25.75 27.58 28.95 
10-23-202355 22.41 23.55 25.06 26.87 28.22 
10-24-202354 21.84 22.96 24.46 26.25 27.58 
10-25-202353 21.18 22.29 23.77 25.53 26.85 
10-26-202350 19.26 20.34 21.78 23.47 24.73 
10-27-202349 18.69 19.76 21.19 22.85 24.10 
10-30-202348 18.48 19.53 20.94 22.58 23.81 
10-31-202347 18.00 19.04 20.44 22.05 23.27 
11-01-202346 17.36 18.39 19.77 21.36 22.56 
11-02-202343 15.87 16.87 18.20 19.73 20.87 
11-03-202342 15.42 16.40 17.72 19.22 20.35 
11-06-202341 14.89 15.86 17.16 18.64 19.75 
11-07-202340 14.26 15.22 16.50 17.96 19.05 
11-08-202339 14.33 15.28 16.55 17.98 19.05 
11-09-202336 13.55 14.46 15.68 17.05 18.07 
11-10-202335 12.89 13.79 15.00 16.34 17.35 
11-13-202334 12.27 13.16 14.35 15.68 16.66 
11-14-202333 12.41 13.29 14.46 15.76 16.73 
11-15-202332 12.48 13.34 14.50 15.78 16.73 
11-16-202329 11.49 12.31 13.42 14.63 15.54 
11-17-202328 10.96 11.78 12.87 14.06 14.94 
11-20-202327 10.36 11.16 12.23 13.40 14.27 
11-21-202325 9.13 9.91 10.95 12.07 12.91 
11-22-202322 7.48 8.22 9.21 10.27 11.06 
11-24-202321 6.95 7.68 8.65 9.69 10.46 
11-27-202320 6.71 7.42 8.38 9.39 10.15 
11-28-202319 6.06 6.76 7.70 8.69 9.44 
11-29-202318 5.91 6.59 7.51 8.49 9.21 
11-30-202315 5.41 6.06 6.93 7.84 8.52 
12-01-202314 5.24 5.88 6.73 7.62 8.28 
12-04-202313 4.65 5.27 6.10 6.97 7.62 
12-05-202312 4.04 4.65 5.47 6.32 6.95 
12-06-202311 3.58 4.17 4.97 5.80 6.41 
12-07-20238 2.29 2.85 3.59 4.36 4.92 
12-08-20237 1.76 2.30 3.02 3.77 4.32 
12-11-20236 1.16 1.69 2.40 3.12 3.66 
12-12-20235 0.64 1.16 1.85 2.55 3.07 
12-13-20234 0.17 0.66 1.34 2.02 2.52 
12-14-20231 -0.74 -0.29 0.33 0.95 1.39 

 
No portion of this page or web site may be copied, retransmitted, or redistributed in any manner for any commercial use. You may use the site and its information to help in formulating your personal investment decisions; doing so signifies that you accept our
Terms of Usage and Disclaimer.
All pages, content, images, and design Copyright 2000-2023 Ergo Inc. All Rights Reserved Worldwide.