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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 09-13-2024 to the Last Trade Date of 09-19-2024.]
Updated: Friday, Sept-13-2024
12:25am 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)
09-13-20240.95 2.69 5.10 10.75 14.80 
09-16-2024-0.53 0.95 3.01 6.07 8.27 
09-17-2024-0.91 0.37 2.15 4.51 6.21 
09-18-2024-1.15 -0.12 1.32 3.04 4.27 
09-19-2024-1.02 -0.29 0.76 1.89 2.69 

 

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