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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 07-26-2024 to the Last Trade Date of 09-19-2024.]
Updated: Thursday, July-25-2024
11:40pm ET

S&P 500 SEP 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)
07-26-202456 35.47 37.51 40.23 43.97 46.76 
07-29-202453 32.96 34.93 37.56 41.11 43.76 
07-30-202452 32.12 34.06 36.67 40.15 42.75 
07-31-202451 31.67 33.60 36.17 39.59 42.14 
08-01-202450 30.96 32.86 35.41 38.76 41.27 
08-02-202449 30.19 32.07 34.58 37.87 40.33 
08-05-202446 27.84 29.65 32.06 35.17 37.49 
08-06-202445 27.02 28.80 31.18 34.23 36.50 
08-07-202444 26.35 28.10 30.45 33.44 35.67 
08-08-202443 25.51 27.24 29.56 32.48 34.67 
08-09-202442 25.28 26.99 29.27 32.13 34.27 
08-12-202439 23.25 24.88 27.06 29.74 31.75 
08-13-202438 22.91 24.51 26.65 29.28 31.24 
08-14-202437 22.22 23.80 25.91 28.47 30.39 
08-15-202436 22.46 24.01 26.08 28.59 30.46 
08-16-202435 22.30 23.82 25.86 28.31 30.14 
08-19-202432 20.45 21.89 23.81 26.09 27.80 
08-20-202431 19.66 21.07 22.96 25.18 26.84 
08-21-202430 18.77 20.15 22.01 24.17 25.79 
08-22-202429 17.94 19.30 21.11 23.22 24.80 
08-23-202428 17.04 18.36 20.14 22.19 23.73 
08-26-202425 14.13 15.37 17.03 18.91 20.32 
08-27-202424 13.62 14.83 16.45 18.29 19.66 
08-28-202423 12.64 13.82 15.40 17.18 18.51 
08-29-202422 11.72 12.87 14.41 16.13 17.42 
08-30-202421 11.51 12.63 14.14 15.81 17.05 
09-03-202417 8.36 9.36 10.70 12.16 13.25 
09-04-202416 7.60 8.57 9.87 11.27 12.32 
09-05-202415 7.05 7.99 9.25 10.60 11.61 
09-06-202414 7.06 7.96 9.18 10.48 11.45 
09-09-202411 4.83 5.64 6.72 7.87 8.73 
09-10-202410 4.41 5.19 6.23 7.32 8.14 
09-11-20249 3.62 4.36 5.36 6.41 7.18 
09-12-20248 2.94 3.66 4.61 5.61 6.35 
09-13-20247 2.56 3.24 4.16 5.10 5.80 
09-16-20244 1.66 2.24 3.02 3.81 4.40 
09-17-20243 0.94 1.49 2.22 2.97 3.52 
09-18-20242 0.21 0.72 1.41 2.11 2.62 
09-19-20241 -0.50 -0.03 0.62 1.26 1.73 

 
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