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IndexArb Values vs. Time
S&P 500 JUN 2023 Futures Contract
[Index Arbitrage Program Trading Premium Values from 01-27-2023 to the Last Trade Date of 06-15-2023.]
Updated: Friday, Jan-27-2023
1:20am ET

S&P 500 JUN 2023 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)
01-27-2023141 33.38 39.90 48.59 58.26 65.51 
01-30-2023140 33.30 39.77 48.40 57.99 65.19 
01-31-2023139 32.90 39.33 47.89 57.42 64.56 
02-01-2023138 32.47 38.85 47.35 56.80 63.90 
02-02-2023135 31.29 37.52 45.83 55.08 62.01 
02-03-2023134 31.01 37.19 45.43 54.60 61.48 
02-06-2023133 30.90 37.03 45.21 54.32 61.14 
02-07-2023132 30.50 36.59 44.71 53.74 60.51 
02-08-2023131 30.60 36.64 44.69 53.65 60.37 
02-09-2023128 30.18 36.07 43.93 52.68 59.24 
02-10-2023127 29.85 35.69 43.49 52.17 58.67 
02-13-2023126 29.44 35.24 42.98 51.58 58.03 
02-14-2023125 30.08 35.83 43.51 52.04 58.44 
02-15-2023124 30.08 35.78 43.39 51.85 58.20 
02-16-2023120 28.73 34.24 41.60 49.78 55.91 
02-17-2023119 28.93 34.40 41.69 49.80 55.88 
02-21-2023118 28.51 33.92 41.15 49.19 55.22 
02-22-2023117 28.13 33.50 40.66 48.64 54.61 
02-23-2023114 27.14 32.37 39.34 47.10 52.92 
02-24-2023113 26.73 31.91 38.82 46.51 52.27 
02-27-2023112 26.83 31.96 38.82 46.44 52.14 
02-28-2023111 26.99 32.07 38.86 46.41 52.06 
03-01-2023110 26.74 31.77 38.50 45.98 51.58 
03-02-2023107 26.01 30.90 37.44 44.71 50.15 
03-03-2023106 25.70 30.55 37.02 44.22 49.62 
03-06-2023105 25.35 30.15 36.56 43.70 49.03 
03-07-2023104 25.10 29.85 36.20 43.26 48.55 
03-08-2023103 24.96 29.66 35.95 42.94 48.18 
03-09-2023100 24.27 28.83 34.93 41.72 46.79 
03-10-202399 24.02 28.54 34.57 41.29 46.32 
03-13-202398 23.64 28.11 34.09 40.73 45.71 
03-14-202397 24.28 28.70 34.61 41.19 46.11 
03-15-202396 23.95 28.33 34.18 40.69 45.56 
03-16-202393 22.97 27.20 32.87 39.17 43.88 
03-17-202392 22.59 26.79 32.39 38.62 43.28 
03-20-202391 22.16 26.30 31.84 38.00 42.61 
03-21-202390 21.95 26.05 31.52 37.62 42.17 
03-22-202389 21.81 25.86 31.27 37.29 41.80 
03-23-202386 20.84 24.75 29.98 35.80 40.15 
03-24-202385 20.42 24.28 29.45 35.20 39.49 
03-27-202384 19.97 23.79 28.89 34.57 38.82 
03-28-202383 19.53 23.30 28.34 33.95 38.15 
03-29-202382 19.08 22.81 27.79 33.33 37.47 
03-30-202379 18.26 21.85 26.64 31.98 35.97 
03-31-202378 18.03 21.57 26.30 31.57 35.50 
04-03-202377 17.62 21.11 25.78 30.98 34.86 
04-04-202376 17.56 21.00 25.61 30.74 34.58 
04-05-202372 16.47 19.73 24.09 28.94 32.57 
04-06-202371 16.78 19.99 24.30 29.08 32.66 
04-10-202370 16.35 19.52 23.76 28.47 32.00 
04-11-202369 15.99 19.12 23.30 27.94 31.42 
04-12-202368 15.72 18.79 22.91 27.49 30.91 
04-13-202365 14.95 17.89 21.82 26.20 29.47 
04-14-202364 14.52 17.41 21.28 25.59 28.81 
04-17-202363 14.08 16.93 20.74 24.97 28.14 
04-18-202362 13.71 16.51 20.26 24.43 27.55 
04-19-202361 13.27 16.03 19.72 23.82 26.88 
04-20-202358 12.40 15.01 18.52 22.41 25.33 
04-21-202357 12.04 14.61 18.05 21.88 24.74 
04-24-202356 11.68 14.21 17.59 21.35 24.16 
04-25-202355 11.29 13.77 17.09 20.78 23.54 
04-26-202354 10.85 13.29 16.55 20.17 22.88 
04-27-202351 9.81 12.11 15.19 18.61 21.16 
04-28-202350 9.72 11.97 14.99 18.34 20.84 
05-01-202349 9.28 11.49 14.44 17.73 20.18 
05-02-202348 8.82 10.99 13.90 17.13 19.54 
05-03-202347 8.35 10.49 13.36 16.53 18.89 
05-04-202344 7.51 9.55 12.28 15.28 17.51 
05-05-202343 7.69 9.69 12.37 15.31 17.51 
05-08-202342 7.28 9.25 11.88 14.77 16.92 
05-09-202341 7.12 9.06 11.64 14.47 16.58 
05-10-202340 6.76 8.66 11.21 13.98 16.05 
05-11-202337 6.54 8.33 10.74 13.34 15.28 
05-12-202336 6.61 8.37 10.73 13.28 15.18 
05-15-202335 6.36 8.09 10.40 12.89 14.74 
05-16-202334 6.26 7.95 10.21 12.64 14.46 
05-17-202333 6.44 8.09 10.31 12.68 14.46 
05-18-202330 5.84 7.38 9.46 11.67 13.32 
05-19-202329 5.61 7.13 9.15 11.31 12.92 
05-22-202328 5.23 6.71 8.69 10.79 12.35 
05-23-202327 4.88 6.32 8.25 10.29 11.82 
05-24-202326 4.45 5.86 7.74 9.73 11.21 
05-25-202322 2.69 3.95 5.64 7.41 8.74 
05-26-202321 2.67 3.89 5.54 7.25 8.53 
05-30-202320 2.83 4.01 5.61 7.27 8.51 
05-31-202319 3.10 4.25 5.80 7.41 8.60 
06-01-202316 2.52 3.56 4.96 6.41 7.49 
06-02-202315 2.38 3.39 4.74 6.13 7.17 
06-05-202314 1.97 2.94 4.24 5.58 6.58 
06-06-202313 1.61 2.54 3.79 5.08 6.04 
06-07-202312 1.32 2.22 3.42 4.65 5.57 
06-08-20230.55 1.34 2.39 3.46 4.26 
06-09-20230.15 0.89 1.90 2.92 3.67 
06-12-2023-0.21 0.50 1.45 2.42 3.13 
06-13-2023-0.40 0.27 1.18 2.09 2.77 
06-14-20230.40 1.03 1.89 2.75 3.39 
06-15-2023-0.68 -0.22 0.43 1.09 1.55 

 

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