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IndexArb Values vs. Time
S&P 500 JUN 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 02-27-2024 to the Last Trade Date of 06-20-2024.]
Updated: Monday, Feb-26-2024
9:10pm ET

S&P 500 JUN 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)
02-27-2024117 58.05 61.20 65.59 69.44 72.21 
02-28-2024116 57.85 60.98 65.33 69.15 71.89 
02-29-2024113 56.87 59.92 64.16 67.88 70.56 
03-01-2024112 56.57 59.60 63.81 67.50 70.16 
03-04-2024111 56.11 59.12 63.29 66.96 69.60 
03-05-2024110 55.62 58.61 62.76 66.40 69.02 
03-06-2024109 55.42 58.39 62.50 66.11 68.72 
03-07-2024106 54.36 57.27 61.29 64.82 67.37 
03-08-2024105 54.07 56.95 60.94 64.44 66.97 
03-11-2024104 53.49 56.35 60.31 63.78 66.29 
03-12-2024103 53.05 55.89 59.82 63.26 65.75 
03-13-2024102 52.54 55.36 59.25 62.67 65.14 
03-14-202499 52.02 54.78 58.57 61.90 64.32 
03-15-202498 51.60 54.33 58.09 61.39 63.79 
03-18-202497 51.02 53.73 57.46 60.73 63.11 
03-19-202496 50.39 53.08 56.78 60.02 62.38 
03-20-202495 49.80 52.47 56.13 59.34 61.68 
03-21-202492 48.59 51.19 54.75 57.87 60.15 
03-22-202491 48.19 50.76 54.29 57.38 59.64 
03-25-202490 47.55 50.10 53.59 56.66 58.90 
03-26-202489 46.91 49.44 52.90 55.93 58.15 
03-27-202485 44.55 46.98 50.31 53.22 55.36 
03-28-202484 44.52 46.93 50.22 53.10 55.22 
04-01-202483 43.89 46.27 49.53 52.38 54.48 
04-02-202482 43.38 45.74 48.96 51.79 53.86 
04-03-202481 42.93 45.26 48.45 51.24 53.30 
04-04-202478 41.41 43.67 46.75 49.46 51.44 
04-05-202477 41.05 43.29 46.33 49.00 50.97 
04-08-202476 40.46 42.68 45.69 48.33 50.27 
04-09-202475 40.47 42.66 45.63 48.24 50.17 
04-10-202474 39.90 42.07 45.01 47.59 49.49 
04-11-202471 37.92 40.01 42.84 45.33 47.16 
04-12-202470 37.84 39.91 42.70 45.16 46.97 
04-15-202469 37.23 39.27 42.03 44.45 46.24 
04-16-202468 36.62 38.63 41.36 43.75 45.51 
04-17-202467 35.94 37.92 40.61 42.97 44.71 
04-18-202464 34.22 36.13 38.71 40.97 42.65 
04-19-202463 33.62 35.50 38.04 40.27 41.93 
04-22-202462 32.93 34.79 37.29 39.48 41.11 
04-23-202461 32.33 34.16 36.63 38.79 40.39 
04-24-202460 31.63 33.44 35.86 38.00 39.58 
04-25-202457 29.77 31.49 33.81 35.84 37.35 
04-26-202456 29.06 30.76 33.04 35.04 36.52 
04-29-202455 28.65 30.32 32.56 34.53 35.99 
04-30-202454 28.07 29.71 31.92 33.85 35.29 
05-01-202453 27.37 28.99 31.15 33.05 34.47 
05-02-202450 25.54 27.08 29.13 30.93 32.27 
05-03-202449 25.21 26.72 28.73 30.50 31.81 
05-06-202448 24.64 26.12 28.09 29.82 31.12 
05-07-202447 23.95 25.39 27.33 29.03 30.30 
05-08-202446 23.32 24.74 26.63 28.30 29.54 
05-09-202443 22.00 23.39 25.25 26.88 28.10 
05-10-202442 22.17 23.56 25.42 27.05 28.27 
05-13-202441 21.41 22.80 24.66 26.29 27.51 
05-14-202440 21.13 22.52 24.38 26.01 27.23 
05-15-202439 21.16 22.55 24.41 26.04 27.26 
05-16-202436 19.78 21.17 23.03 24.66 25.88 
05-17-202435 19.31 20.70 22.56 24.19 25.41 
05-20-202434 18.52 19.91 21.76 23.39 24.61 
05-21-202433 17.88 19.27 21.13 22.76 23.98 
05-22-202432 17.25 18.64 20.50 22.13 23.35 
05-23-202428 14.10 15.49 17.34 18.97 20.19 
05-24-202427 13.15 14.54 16.40 18.03 19.25 
05-28-202426 12.69 14.08 15.93 17.57 18.78 
05-29-202425 11.77 13.16 15.01 16.64 17.86 
05-30-202422 9.01 10.40 12.26 13.89 15.11 
05-31-202421 8.91 10.30 12.16 13.79 15.01 
06-03-202420 8.74 10.12 11.98 13.61 14.83 
06-04-202419 7.86 9.24 11.10 12.73 13.95 
06-05-202418 7.24 8.58 10.36 11.94 13.12 
06-06-202415 5.35 6.53 8.11 9.54 10.60 
06-07-202414 5.55 6.68 8.20 9.57 10.59 
06-10-202413 5.14 6.22 7.66 8.98 9.97 
06-11-202412 4.41 5.44 6.82 8.09 9.03 
06-12-202411 3.79 4.76 6.07 7.29 8.19 
06-13-20241.67 2.50 3.62 4.67 5.45 
06-14-20242.37 3.15 4.20 5.20 5.94 
06-17-20241.56 2.25 3.16 4.05 4.70 
06-18-20240.95 1.59 2.44 3.27 3.88 
06-20-2024-0.87 -0.39 0.27 0.93 1.40 

 

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