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IndexArb Values vs. Time
S&P 500 DEC 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 12-05-2024 to the Last Trade Date of 12-19-2024.]
Updated: Wednesday, Dec-04-2024
9:30pm 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)
12-05-202415 6.93 9.00 11.80 13.94 15.54 
12-06-202414 6.52 8.48 11.11 13.17 14.70 
12-09-202411 4.32 5.93 8.10 9.88 11.20 
12-10-202410 3.50 5.00 7.01 8.69 9.94 
12-11-20242.70 4.09 5.95 7.53 8.71 
12-12-20241.88 3.16 4.87 6.35 7.45 
12-13-20241.84 3.01 4.58 5.95 6.97 
12-16-20240.65 1.50 2.64 3.70 4.48 
12-17-20240.06 0.80 1.80 2.75 3.44 
12-18-2024-0.50 0.14 1.00 1.83 2.45 
12-19-2024-1.07 -0.54 0.19 0.91 1.42 

 

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