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IndexArb Values vs. Time
S&P 500 DEC 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 07-24-2024 to the Last Trade Date of 12-20-2024.]
Updated: Wednesday, July-24-2024
12:45am 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)
07-24-2024150 92.64 97.64 104.46 111.88 117.32 
07-25-2024149 91.95 96.92 103.70 111.08 116.48 
07-26-2024148 91.58 96.53 103.27 110.60 115.97 
07-29-2024145 89.40 94.26 100.87 108.06 113.34 
07-30-2024144 88.66 93.49 100.06 107.21 112.45 
07-31-2024143 88.32 93.12 99.65 106.75 111.96 
08-01-2024142 87.73 92.49 98.98 106.03 111.21 
08-02-2024141 87.05 91.79 98.23 105.24 110.39 
08-05-2024138 85.01 89.65 95.97 102.84 107.89 
08-06-2024137 84.35 88.96 95.24 102.06 107.08 
08-07-2024136 83.71 88.29 94.52 101.30 106.28 
08-08-2024135 82.99 87.55 93.74 100.46 105.41 
08-09-2024134 82.78 87.30 93.45 100.13 105.04 
08-12-2024131 81.05 85.48 91.50 98.04 102.85 
08-13-2024130 80.81 85.21 91.18 97.68 102.46 
08-14-2024129 80.17 84.54 90.48 96.92 101.67 
08-15-2024128 80.51 84.85 90.74 97.14 101.85 
08-16-2024127 80.53 84.84 90.68 97.04 101.72 
08-19-2024124 78.97 83.19 88.90 95.12 99.70 
08-20-2024123 78.30 82.48 88.15 94.32 98.87 
08-21-2024122 77.72 81.88 87.51 93.62 98.14 
08-22-2024121 77.16 81.28 86.87 92.94 97.42 
08-23-2024120 76.51 80.60 86.14 92.16 96.61 
08-26-2024117 74.28 78.28 83.69 89.57 93.92 
08-27-2024116 73.99 77.95 83.32 89.15 93.46 
08-28-2024115 73.19 77.13 82.45 88.24 92.51 
08-29-2024114 72.44 76.34 81.62 87.36 91.61 
08-30-2024113 72.41 76.28 81.51 87.21 91.41 
09-03-2024109 69.80 73.54 78.60 84.10 88.17 
09-04-2024108 69.10 72.81 77.83 83.28 87.32 
09-05-2024107 68.61 72.29 77.26 82.67 86.67 
09-06-2024106 68.83 72.48 77.41 82.76 86.73 
09-09-2024103 66.69 70.24 75.03 80.25 84.11 
09-10-2024102 66.30 69.82 74.57 79.73 83.56 
09-11-2024101 65.53 69.02 73.72 78.84 82.63 
09-12-2024100 64.90 68.35 73.01 78.08 81.84 
09-13-202499 64.50 67.93 72.54 77.56 81.29 
09-16-202496 63.50 66.83 71.31 76.18 79.80 
09-17-202495 62.74 66.04 70.48 75.30 78.88 
09-18-202494 61.94 65.20 69.60 74.38 77.92 
09-19-202493 61.15 64.38 68.73 73.46 76.97 
09-20-202492 60.52 63.71 68.02 72.70 76.17 
09-23-202489 58.45 61.55 65.72 70.26 73.62 
09-24-202488 57.64 60.71 64.84 69.32 72.65 
09-25-202487 57.11 60.15 64.23 68.66 71.96 
09-26-202486 56.31 59.32 63.35 67.74 71.00 
09-27-202485 55.65 58.62 62.61 66.95 70.17 
09-30-202482 53.79 56.66 60.51 64.70 67.82 
10-01-202481 53.19 56.02 59.83 63.97 67.05 
10-02-202480 52.50 55.30 59.07 63.16 66.20 
10-03-202479 51.67 54.44 58.16 62.20 65.21 
10-04-202478 51.71 54.45 58.12 62.11 65.09 
10-07-202475 49.21 51.85 55.38 59.23 62.09 
10-08-202474 48.41 51.01 54.51 58.30 61.13 
10-09-202473 47.64 50.21 53.65 57.40 60.19 
10-10-202472 47.47 50.01 53.41 57.10 59.86 
10-11-202471 46.75 49.25 52.60 56.25 58.97 
10-14-202468 44.23 46.63 49.85 53.34 55.95 
10-15-202467 43.95 46.32 49.49 52.93 55.51 
10-16-202466 43.10 45.44 48.56 51.96 54.49 
10-17-202465 42.52 44.82 47.90 51.24 53.74 
10-18-202464 41.96 44.22 47.26 50.55 53.02 
10-21-202461 39.54 41.70 44.59 47.74 50.09 
10-22-202460 38.69 40.82 43.67 46.77 49.08 
10-23-202459 37.92 40.01 42.82 45.86 48.14 
10-24-202458 37.16 39.22 41.98 44.97 47.21 
10-25-202457 36.34 38.37 41.09 44.05 46.25 
10-28-202454 33.83 35.78 38.39 41.22 43.33 
10-29-202453 32.95 34.87 37.45 40.23 42.31 
10-30-202452 32.11 34.01 36.55 39.29 41.34 
10-31-202451 31.63 33.50 36.01 38.71 40.72 
11-01-202450 31.28 33.12 35.59 38.25 40.23 
11-04-202447 28.79 30.56 32.92 35.44 37.33 
11-05-202446 27.91 29.65 31.98 34.46 36.32 
11-06-202445 27.08 28.79 31.08 33.52 35.34 
11-07-202444 26.28 27.96 30.22 32.62 34.41 
11-08-202443 26.18 27.84 30.05 32.41 34.17 
11-11-202440 23.58 25.16 27.26 29.49 31.16 
11-12-202439 23.17 24.72 26.79 28.98 30.62 
11-13-202438 22.92 24.44 26.48 28.62 30.23 
11-14-202437 22.22 23.72 25.72 27.82 29.40 
11-15-202436 22.61 24.08 26.04 28.10 29.64 
11-18-202433 20.53 21.91 23.76 25.70 27.15 
11-19-202432 19.65 21.00 22.81 24.71 26.13 
11-20-202431 19.04 20.37 22.15 24.00 25.39 
11-21-202430 18.88 20.18 21.92 23.73 25.09 
11-22-202429 18.12 19.39 21.09 22.86 24.19 
11-25-202426 15.12 16.31 17.90 19.55 20.78 
11-26-202425 14.52 15.68 17.24 18.84 20.05 
11-27-202424 13.52 14.65 16.17 17.74 18.91 
11-29-202422 11.94 13.02 14.46 15.94 17.05 
12-02-202419 10.28 11.27 12.60 13.96 14.98 
12-03-202418 9.37 10.33 11.62 12.94 13.93 
12-04-202417 8.55 9.48 10.73 12.01 12.97 
12-05-202416 7.94 8.85 10.06 11.30 12.23 
12-06-202415 8.25 9.13 10.30 11.50 12.40 
12-09-202412 5.65 6.44 7.50 8.58 9.39 
12-10-202411 5.13 5.89 6.91 7.95 8.73 
12-11-202410 4.41 5.15 6.13 7.13 7.88 
12-12-20243.66 4.37 5.31 6.27 6.99 
12-13-20243.53 4.21 5.12 6.03 6.72 
12-16-20242.00 2.59 3.38 4.18 4.78 
12-17-20241.26 1.82 2.58 3.34 3.90 
12-18-20240.60 1.13 1.85 2.56 3.10 
12-19-2024-0.17 0.33 1.01 1.69 2.19 
12-20-2024-0.27 0.19 0.83 1.47 1.93 

 

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