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IndexArb Values vs. Time
S&P 500 DEC 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 09-09-2024 to the Last Trade Date of 12-20-2024.]
Updated: Saturday, Sept-07-2024
12:30am 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)
09-09-2024103 43.07 48.29 56.02 66.69 73.89 
09-10-2024102 42.65 47.82 55.48 66.05 73.19 
09-11-2024101 42.14 47.26 54.85 65.31 72.38 
09-12-2024100 41.65 46.73 54.24 64.60 71.60 
09-13-202499 42.93 47.99 55.46 65.77 72.74 
09-16-202496 45.07 50.07 57.42 67.54 74.45 
09-17-202495 45.45 50.43 57.73 67.80 74.68 
09-18-202494 45.81 50.77 58.03 68.03 74.88 
09-19-202493 46.36 51.31 58.52 68.46 75.28 
09-20-202492 46.65 51.58 58.74 68.62 75.41 
09-23-202489 47.23 52.09 59.11 68.78 75.48 
09-24-202488 47.37 52.20 59.17 68.78 75.44 
09-25-202487 47.73 52.54 59.45 68.99 75.62 
09-26-202486 47.89 52.68 59.54 69.01 75.61 
09-27-202485 48.23 52.99 59.80 69.20 75.76 
09-30-202482 48.95 53.62 60.27 69.45 75.89 
10-01-202481 49.16 53.80 60.40 69.50 75.91 
10-02-202480 49.48 54.09 60.64 69.66 76.02 
10-03-202479 49.44 54.02 60.51 69.45 75.77 
10-04-202478 50.04 54.59 61.02 69.89 76.17 
10-07-202475 49.72 54.17 60.42 69.05 75.19 
10-08-202474 49.60 54.02 60.21 68.76 74.85 
10-09-202473 49.49 53.87 60.01 68.47 74.51 
10-10-202472 49.97 54.32 60.39 68.77 74.76 
10-11-202471 49.88 54.18 60.20 68.49 74.43 
10-14-202468 49.12 53.32 59.14 67.17 72.95 
10-15-202467 49.40 53.55 59.31 67.25 72.98 
10-16-202466 49.08 53.19 58.89 66.74 72.41 
10-17-202465 49.01 53.08 58.71 66.47 72.08 
10-18-202464 48.94 52.97 58.53 66.20 71.76 
10-21-202461 47.89 51.79 57.14 64.53 69.91 
10-22-202460 47.46 51.32 56.60 63.89 69.21 
10-23-202459 47.08 50.90 56.11 63.30 68.56 
10-24-202458 46.71 50.47 55.62 62.71 67.91 
10-25-202457 46.26 49.98 55.06 62.05 67.18 
10-28-202454 44.77 48.35 53.20 59.90 64.83 
10-29-202453 44.20 47.72 52.50 59.10 63.96 
10-30-202452 43.64 47.12 51.82 58.32 63.11 
10-31-202451 43.43 46.85 51.49 57.88 62.60 
11-01-202450 43.32 46.70 51.25 57.54 62.19 
11-04-202447 41.47 44.68 49.01 54.97 59.40 
11-05-202446 40.76 43.92 48.17 54.02 58.38 
11-06-202445 40.08 43.18 47.35 53.10 57.38 
11-07-202444 39.22 42.32 46.49 52.24 56.52 
11-08-202443 39.10 42.20 46.37 52.12 56.40 
11-11-202440 36.32 39.42 43.59 49.34 53.62 
11-12-202439 35.81 38.92 43.08 48.83 53.11 
11-13-202438 35.45 38.55 42.71 48.46 52.74 
11-14-202437 34.61 37.71 41.88 47.63 51.90 
11-15-202436 34.87 37.97 42.14 47.89 52.16 
11-18-202433 32.20 35.30 39.46 45.21 49.48 
11-19-202432 31.08 34.18 38.34 44.09 48.36 
11-20-202431 30.22 33.32 37.49 43.23 47.50 
11-21-202430 29.83 32.93 37.09 42.84 47.11 
11-22-202429 27.98 31.07 35.24 40.98 45.25 
11-25-202426 21.92 25.00 29.17 34.92 39.18 
11-26-202425 20.36 23.45 27.62 33.37 37.62 
11-27-202424 18.45 21.53 25.70 31.45 35.70 
11-29-202422 15.14 18.22 22.39 28.14 32.39 
12-02-202419 11.16 14.24 18.40 24.15 28.39 
12-03-202418 9.55 12.62 16.79 22.53 26.77 
12-04-202417 8.06 11.13 15.30 21.05 25.28 
12-05-202416 6.83 9.89 14.06 19.81 24.03 
12-06-202415 6.55 9.60 13.77 19.52 23.74 
12-09-202412 2.39 5.43 9.60 15.34 19.54 
12-10-202411 1.42 4.45 8.62 14.37 18.55 
12-11-202410 0.74 3.58 7.49 12.71 16.50 
12-12-20249 0.07 2.72 6.36 11.05 14.47 
12-13-20248 0.10 2.54 5.89 10.07 13.12 
12-16-20245 -0.49 1.26 3.67 6.42 8.42 
12-17-20244 -0.83 0.68 2.74 5.04 6.71 
12-18-20243 -1.04 0.20 1.92 3.78 5.12 
12-19-20242 -1.30 -0.33 1.03 2.46 3.49 
12-20-20241 -0.87 -0.17 0.81 1.82 2.53 

 
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