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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 05-20-2024 to the Last Trade Date of 09-19-2024.]
Updated: Saturday, May-18-2024
2:05pm 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)
05-20-2024123 64.61 68.31 73.32 80.68 86.12 
05-21-2024122 64.03 67.70 72.67 79.97 85.37 
05-22-2024121 63.40 67.04 71.96 79.21 84.56 
05-23-2024120 62.90 66.51 71.39 78.58 83.89 
05-24-2024119 62.22 65.81 70.65 77.78 83.05 
05-28-2024115 59.64 63.11 67.80 74.70 79.80 
05-29-2024114 59.04 62.48 67.13 73.97 79.03 
05-30-2024113 58.90 62.31 66.92 73.70 78.72 
05-31-2024112 59.06 62.44 67.01 73.73 78.71 
06-03-2024109 57.44 60.74 65.19 71.74 76.59 
06-04-2024108 56.99 60.26 64.67 71.16 75.97 
06-05-2024107 56.39 59.63 64.00 70.43 75.19 
06-06-2024106 55.79 59.00 63.33 69.70 74.42 
06-07-2024105 56.07 59.25 63.55 69.86 74.54 
06-10-2024102 54.49 57.58 61.76 67.90 72.45 
06-11-2024101 53.80 56.86 61.00 67.08 71.59 
06-12-2024100 53.23 56.27 60.36 66.38 70.85 
06-13-202499 52.61 55.62 59.68 65.64 70.06 
06-14-202498 53.08 56.06 60.08 65.98 70.36 
06-17-202495 51.70 54.59 58.49 64.22 68.47 
06-18-202494 51.09 53.95 57.80 63.47 67.68 
06-20-202492 49.82 52.62 56.40 61.95 66.07 
06-21-202491 49.52 52.30 56.03 61.52 65.60 
06-24-202488 47.70 50.39 54.01 59.32 63.27 
06-25-202487 47.03 49.69 53.26 58.52 62.43 
06-26-202486 46.34 48.96 52.50 57.70 61.56 
06-27-202485 45.73 48.33 51.82 56.96 60.78 
06-28-202484 45.59 48.16 51.62 56.70 60.47 
07-01-202481 43.70 46.18 49.52 54.42 58.07 
07-02-202480 43.00 45.45 48.75 53.59 57.20 
07-03-202479 42.45 44.88 48.13 52.91 56.47 
07-05-202477 41.93 44.29 47.46 52.13 55.60 
07-08-202474 39.94 42.22 45.27 49.76 53.10 
07-09-202473 39.31 41.55 44.56 48.99 52.29 
07-10-202472 39.27 41.48 44.45 48.82 52.08 
07-11-202471 38.55 40.73 43.66 47.97 51.18 
07-12-202470 37.83 39.98 42.87 47.12 50.29 
07-15-202467 36.24 38.31 41.07 45.14 48.18 
07-16-202466 35.59 37.63 40.35 44.37 47.36 
07-17-202465 34.93 36.94 39.62 43.57 46.52 
07-18-202464 34.30 36.28 38.92 42.81 45.72 
07-19-202463 33.94 35.88 38.49 42.32 45.18 
07-22-202460 31.85 33.70 36.18 39.84 42.56 
07-23-202459 31.19 33.01 35.45 39.04 41.73 
07-24-202458 30.53 32.33 34.73 38.26 40.90 
07-25-202457 29.85 31.61 33.97 37.44 40.04 
07-26-202456 29.28 31.02 33.34 36.75 39.30 
07-29-202453 27.16 28.80 31.00 34.23 36.64 
07-30-202452 26.42 28.03 30.19 33.36 35.73 
07-31-202451 26.13 27.71 29.82 32.94 35.26 
08-01-202450 25.53 27.08 29.16 32.21 34.49 
08-02-202449 25.30 26.82 28.85 31.84 34.08 
08-05-202446 23.44 24.87 26.78 29.59 31.70 
08-06-202445 22.70 24.10 25.97 28.72 30.77 
08-07-202444 22.00 23.40 25.27 28.02 30.08 
08-08-202443 21.24 22.64 24.51 27.26 29.31 
08-09-202442 20.92 22.31 24.18 26.93 28.99 
08-12-202439 19.03 20.42 22.29 25.04 27.10 
08-13-202438 18.74 20.14 22.01 24.76 26.81 
08-14-202437 18.04 19.44 21.31 24.06 26.11 
08-15-202436 18.32 19.72 21.59 24.34 26.39 
08-16-202435 18.23 19.63 21.50 24.25 26.30 
08-19-202432 16.59 17.99 19.86 22.61 24.66 
08-20-202431 15.86 17.23 19.08 21.75 23.74 
08-21-202430 15.20 16.56 18.37 20.96 22.90 
08-22-202429 14.54 15.88 17.66 20.17 22.05 
08-23-202428 13.93 15.24 17.00 19.44 21.26 
08-26-202425 11.61 12.85 14.51 16.72 18.37 
08-27-202424 11.25 12.46 14.09 16.22 17.82 
08-28-202423 10.43 11.62 13.21 15.28 16.82 
08-29-202422 9.66 10.82 12.38 14.37 15.86 
08-30-202421 9.52 10.65 12.17 14.09 15.53 
09-03-202417 7.00 8.02 9.39 11.04 12.27 
09-04-202416 6.29 7.28 8.61 10.19 11.37 
09-05-202415 5.87 6.83 8.12 9.64 10.77 
09-06-202414 6.08 7.01 8.25 9.70 10.78 
09-09-202411 4.08 4.91 6.03 7.28 8.22 
09-10-202410 3.75 4.55 5.62 6.82 7.71 
09-11-20249 3.04 3.81 4.84 5.97 6.81 
09-12-20248 2.49 3.22 4.20 5.27 6.07 
09-13-20247 2.19 2.88 3.82 4.83 5.58 
09-16-20244 1.47 2.07 2.86 3.69 4.31 
09-17-20243 0.82 1.38 2.13 2.90 3.47 
09-18-20242 0.13 0.65 1.35 2.06 2.59 
09-19-20241 -0.53 -0.06 0.59 1.24 1.72 

 
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