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IndexArb Values vs. Time
S&P 500 DEC 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 10-14-2024 to the Last Trade Date of 12-19-2024.]
Updated: Saturday, Oct-12-2024
5:30pm ET

S&P 500 DEC 2024 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)
10-14-202467 39.91 42.53 46.03 47.98 49.44 
10-15-202466 39.61 42.19 45.64 47.58 49.03 
10-16-202465 38.88 41.43 44.82 46.75 48.19 
10-17-202464 38.14 40.65 44.00 45.91 47.34 
10-18-202463 37.67 40.14 43.45 45.34 46.76 
10-21-202460 35.47 37.83 40.99 42.84 44.22 
10-22-202459 34.69 37.01 40.12 41.96 43.33 
10-23-202458 33.97 36.26 39.32 41.14 42.50 
10-24-202457 33.16 35.42 38.43 40.23 41.58 
10-25-202456 32.40 34.62 37.58 39.37 40.71 
10-28-202453 30.03 32.14 34.97 36.71 38.01 
10-29-202452 29.21 31.29 34.07 35.79 37.08 
10-30-202451 28.41 30.46 33.19 34.89 36.17 
10-31-202450 28.04 30.05 32.74 34.42 35.69 
11-01-202449 27.72 29.70 32.33 34.00 35.26 
11-04-202446 25.40 27.27 29.77 31.39 32.61 
11-05-202445 24.64 26.48 28.93 30.54 31.73 
11-06-202444 23.88 25.68 28.08 29.67 30.86 
11-07-202443 23.11 24.88 27.24 28.81 29.98 
11-08-202442 23.01 24.75 27.06 28.61 29.77 
11-11-202439 20.59 22.22 24.40 25.90 27.02 
11-12-202438 20.24 21.84 23.97 25.45 26.55 
11-13-202437 20.01 21.57 23.66 25.12 26.21 
11-14-202436 19.34 20.87 22.92 24.36 25.43 
11-15-202435 19.74 21.24 23.24 24.66 25.72 
11-18-202432 17.88 19.29 21.16 22.52 23.53 
11-19-202431 17.06 18.43 20.26 21.59 22.60 
11-20-202430 16.34 17.68 19.46 20.78 21.77 
11-21-202429 16.19 17.50 19.24 20.53 21.51 
11-22-202428 15.46 16.73 18.43 19.70 20.66 
11-25-202425 12.65 13.82 15.39 16.61 17.52 
11-26-202424 12.16 13.31 14.84 16.03 16.92 
11-27-202423 11.29 12.40 13.89 15.06 15.93 
11-29-202421 9.80 10.85 12.26 13.38 14.23 
12-02-202418 8.34 9.30 10.58 11.64 12.43 
12-03-202417 7.49 8.42 9.66 10.70 11.47 
12-04-202416 6.74 7.64 8.84 9.85 10.61 
12-05-202415 6.20 7.07 8.23 9.22 9.96 
12-06-202414 6.57 7.41 8.53 9.49 10.21 
12-09-202411 4.15 4.90 5.91 6.80 7.47 
12-10-202410 3.69 4.41 5.38 6.25 6.89 
12-11-20243.04 3.73 4.66 5.50 6.13 
12-12-20242.34 3.01 3.90 4.71 5.32 
12-13-20242.27 2.90 3.76 4.55 5.14 
12-16-20241.03 1.59 2.33 3.04 3.57 
12-17-20240.36 0.88 1.59 2.27 2.78 
12-18-2024-0.25 0.25 0.92 1.57 2.06 
12-19-2024-0.96 -0.50 0.14 0.77 1.22 

 

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