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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 04-19-2024 to the Last Trade Date of 09-19-2024.]
Updated: Thursday, Apr-18-2024
10:35pm 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)
04-19-2024154 80.36 85.16 91.60 108.16 120.50 
04-22-2024153 79.68 84.45 90.85 107.30 119.56 
04-23-2024152 79.11 83.85 90.20 106.54 118.73 
04-24-2024151 78.42 83.13 89.44 105.67 117.78 
04-25-2024148 76.45 81.06 87.25 103.15 115.01 
04-26-2024147 75.84 80.42 86.56 102.36 114.13 
04-29-2024146 75.39 79.94 86.04 101.73 113.42 
04-30-2024145 74.81 79.32 85.38 100.96 112.58 
05-01-2024144 74.15 78.63 84.65 100.12 111.65 
05-02-2024141 72.25 76.64 82.53 97.68 108.96 
05-03-2024140 71.84 76.20 82.05 97.08 108.29 
05-06-2024139 71.28 75.60 81.41 96.33 107.46 
05-07-2024138 70.60 74.89 80.65 95.47 106.51 
05-08-2024137 69.94 74.21 79.93 94.63 105.60 
05-09-2024134 68.70 72.87 78.47 92.85 103.57 
05-10-2024133 68.93 73.06 78.61 92.89 103.53 
05-13-2024132 68.25 72.36 77.87 92.03 102.59 
05-14-2024131 68.07 72.15 77.61 91.67 102.15 
05-15-2024130 68.18 72.22 77.64 91.59 101.99 
05-16-2024127 67.13 71.08 76.37 89.99 100.15 
05-17-2024126 66.77 70.68 75.94 89.45 99.52 
05-20-2024125 66.42 70.31 75.52 88.92 98.91 
05-21-2024124 65.89 69.74 74.91 88.21 98.12 
05-22-2024123 65.39 69.22 74.34 87.53 97.36 
05-23-2024119 62.76 66.45 71.41 84.16 93.67 
05-24-2024118 62.05 65.71 70.63 83.27 92.70 
05-28-2024117 61.46 65.10 69.97 82.51 91.85 
05-29-2024116 60.76 64.37 69.20 81.62 90.89 
05-30-2024113 58.85 62.36 67.06 79.16 88.19 
05-31-2024112 58.88 62.35 67.02 79.01 87.95 
06-03-2024111 58.75 62.20 66.82 78.70 87.56 
06-04-2024110 58.05 61.46 66.04 77.81 86.60 
06-05-2024109 57.48 60.86 65.40 77.06 85.76 
06-06-2024106 55.68 58.97 63.38 74.72 83.18 
06-07-2024105 55.86 59.12 63.49 74.73 83.10 
06-10-2024104 55.46 58.68 63.01 74.13 82.43 
06-11-2024103 54.73 57.93 62.21 73.23 81.45 
06-12-2024102 54.10 57.26 61.51 72.42 80.55 
06-13-202499 51.98 55.05 59.16 69.75 77.64 
06-14-202498 52.68 55.72 59.80 70.28 78.09 
06-17-202496 51.79 54.76 58.75 69.02 76.67 
06-18-202495 51.12 54.07 58.01 68.17 75.74 
06-20-202492 49.07 51.92 55.74 65.57 72.90 
06-21-202491 48.82 51.64 55.42 65.14 72.39 
06-24-202490 48.39 51.18 54.92 64.53 71.70 
06-25-202489 47.70 50.45 54.15 63.66 70.75 
06-26-202488 46.97 49.70 53.35 62.75 69.76 
06-27-202485 44.85 47.48 51.01 60.08 66.85 
06-28-202484 44.67 47.27 50.76 59.73 66.41 
07-01-202483 44.21 46.78 50.23 59.09 65.70 
07-02-202481 42.76 45.27 48.63 57.27 63.72 
07-03-202478 40.72 43.14 46.37 54.69 60.90 
07-05-202477 40.95 43.33 46.53 54.74 60.87 
07-08-202476 40.38 42.73 45.88 53.99 60.04 
07-09-202475 39.74 42.06 45.17 53.17 59.14 
07-10-202474 39.70 41.98 45.05 52.94 58.83 
07-11-202471 37.52 39.71 42.66 50.22 55.87 
07-12-202470 36.79 38.95 41.85 49.32 54.88 
07-15-202469 36.64 38.77 41.63 48.98 54.47 
07-16-202468 35.98 38.08 40.90 48.15 53.55 
07-17-202467 35.32 37.39 40.16 47.30 52.63 
07-18-202464 33.22 35.20 37.85 44.67 49.75 
07-19-202463 32.85 34.80 37.41 44.12 49.12 
07-22-202462 32.13 34.08 36.70 43.27 48.17 
07-23-202461 31.38 33.34 35.97 42.40 47.20 
07-24-202460 30.64 32.61 35.24 41.54 46.24 
07-25-202457 28.26 30.23 32.87 38.78 43.19 
07-26-202456 27.63 29.60 32.24 38.02 42.33 
07-29-202455 26.91 28.88 31.52 37.17 41.38 
07-30-202454 26.11 28.08 30.71 36.24 40.36 
07-31-202453 25.76 27.72 30.35 35.75 39.78 
08-01-202450 23.54 25.47 28.07 33.12 36.88 
08-02-202449 23.26 25.19 27.77 32.70 36.38 
08-05-202448 22.85 24.76 27.34 32.15 35.74 
08-06-202447 22.07 23.97 26.53 31.23 34.74 
08-07-202446 21.41 23.30 25.84 30.43 33.85 
08-08-202443 19.14 20.99 23.48 27.74 30.91 
08-09-202442 18.87 20.70 23.16 27.32 30.41 
08-12-202441 18.67 20.49 22.93 26.97 29.99 
08-13-202440 18.38 20.18 22.59 26.54 29.48 
08-14-202439 17.74 19.52 21.91 25.75 28.61 
08-15-202436 16.56 18.28 20.58 24.12 26.76 
08-16-202435 16.54 18.23 20.50 23.94 26.51 
08-19-202434 16.63 18.30 20.54 23.88 26.37 
08-20-202433 15.93 17.57 19.78 23.03 25.45 
08-21-202432 15.37 16.99 19.17 22.32 24.67 
08-22-202429 13.25 14.79 16.85 19.73 21.87 
08-23-202428 12.73 14.24 16.26 19.05 21.12 
08-26-202427 12.10 13.58 15.57 18.26 20.27 
08-27-202426 11.76 13.21 15.16 17.76 19.70 
08-28-202425 10.97 12.39 14.29 16.81 18.68 
08-29-202421 7.90 9.19 10.92 13.10 14.72 
08-30-202420 7.81 9.06 10.75 12.84 14.40 
09-03-202419 7.71 8.93 10.57 12.58 14.07 
09-04-202418 7.03 8.21 9.80 11.73 13.17 
09-05-202415 5.18 6.26 7.70 9.39 10.65 
09-06-202414 5.51 6.55 7.94 9.55 10.75 
09-09-202413 5.06 6.06 7.40 8.94 10.08 
09-10-202412 4.52 5.48 6.77 8.22 9.31 
09-11-202411 3.85 4.77 6.01 7.39 8.42 
09-12-20241.97 2.76 3.83 4.99 5.86 
09-13-20241.72 2.47 3.49 4.58 5.38 
09-16-20242.56 3.27 4.23 5.24 6.00 
09-17-20241.96 2.62 3.52 4.47 5.17 
09-18-20241.31 1.93 2.78 3.65 4.30 
09-19-2024-0.58 -0.11 0.55 1.22 1.70 

 

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