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IndexArb Values vs. Time
S&P 500 DEC 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 10-21-2024 to the Last Trade Date of 12-19-2024.]
Updated: Saturday, Oct-19-2024
8:40pm 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)
10-21-202460 37.84 39.68 42.15 47.40 51.32 
10-22-202459 36.97 38.81 41.28 46.42 50.27 
10-23-202458 36.18 38.02 40.48 45.52 49.29 
10-24-202457 35.29 37.12 39.58 44.52 48.21 
10-25-202456 34.45 36.28 38.73 43.57 47.18 
10-28-202453 31.86 33.67 36.09 40.63 44.02 
10-29-202452 30.98 32.77 35.18 39.62 42.95 
10-30-202451 30.12 31.91 34.30 38.65 41.90 
10-31-202450 29.69 31.46 33.84 38.09 41.27 
11-01-202449 29.30 31.07 33.43 37.59 40.70 
11-04-202446 26.80 28.53 30.84 34.73 37.63 
11-05-202445 25.99 27.70 29.99 33.79 36.63 
11-06-202444 25.16 26.86 29.13 32.84 35.61 
11-07-202443 24.34 26.02 28.27 31.90 34.60 
11-08-202442 24.19 25.85 28.08 31.62 34.26 
11-11-202439 21.62 23.23 25.38 28.66 31.12 
11-12-202438 21.22 22.81 24.93 28.14 30.53 
11-13-202437 20.99 22.56 24.66 27.78 30.11 
11-14-202436 20.28 21.82 23.90 26.94 29.21 
11-15-202435 20.63 22.16 24.20 27.16 29.37 
11-18-202432 18.68 20.14 22.09 24.81 26.85 
11-19-202431 17.81 19.25 21.17 23.82 25.79 
11-20-202430 17.01 18.42 20.31 22.88 24.80 
11-21-202429 16.82 18.21 20.06 22.56 24.42 
11-22-202428 16.13 17.49 19.31 21.73 23.54 
11-25-202425 13.16 14.44 16.16 18.36 20.00 
11-26-202424 12.58 13.83 15.51 17.64 19.23 
11-27-202423 11.66 12.89 14.53 16.59 18.12 
11-29-202421 10.20 11.36 12.93 14.84 16.28 
12-02-202418 8.33 9.40 10.84 12.56 13.84 
12-03-202417 7.45 8.50 9.90 11.54 12.77 
12-04-202416 6.67 7.69 9.04 10.62 11.80 
12-05-202415 6.27 7.25 8.57 10.08 11.21 
12-06-202414 6.55 7.49 8.77 10.22 11.30 
12-09-202411 4.09 4.94 6.08 7.34 8.27 
12-10-202410 3.62 4.43 5.52 6.72 7.61 
12-11-20249 2.96 3.74 4.78 5.92 6.76 
12-12-20248 2.27 3.01 4.00 5.08 5.88 
12-13-20247 2.19 2.90 3.85 4.86 5.61 
12-16-20244 0.97 1.57 2.37 3.20 3.82 
12-17-20243 0.28 0.84 1.59 2.37 2.94 
12-18-20242 -0.28 0.23 0.94 1.65 2.18 
12-19-20241 -0.97 -0.50 0.15 0.81 1.28 

 
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