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IndexArb Values vs. Time
S&P 500 JUN 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 05-14-2024 to the Last Trade Date of 06-20-2024.]
Updated: Tuesday, May-14-2024
12:15am 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)
05-14-202438 20.75 21.72 23.01 25.78 27.84 
05-15-202437 20.89 21.86 23.16 25.85 27.85 
05-16-202436 21.14 22.11 23.41 26.02 27.97 
05-17-202435 20.52 21.49 22.79 25.32 27.22 
05-20-202432 18.46 19.42 20.70 23.03 24.76 
05-21-202431 17.80 18.76 20.03 22.29 23.97 
05-22-202430 17.06 18.01 19.28 21.46 23.10 
05-23-202429 16.35 17.30 18.56 20.68 22.26 
05-24-202428 15.43 16.37 17.62 19.68 21.21 
05-28-202424 11.85 12.75 13.95 15.76 17.11 
05-29-202423 11.03 11.92 13.10 14.85 16.15 
05-30-202422 10.39 11.27 12.43 14.12 15.38 
05-31-202421 10.22 11.08 12.23 13.86 15.08 
06-03-202418 8.12 8.94 10.03 11.49 12.58 
06-04-202417 7.51 8.31 9.38 10.79 11.84 
06-05-202416 6.82 7.60 8.65 10.01 11.02 
06-06-202415 6.36 7.13 8.16 9.46 10.43 
06-07-202414 6.42 7.17 8.18 9.42 10.36 
06-10-202411 4.49 5.18 6.11 7.21 8.02 
06-11-202410 3.70 4.37 5.27 6.32 7.10 
06-12-20249 3.07 3.72 4.60 5.60 6.35 
06-13-20248 2.37 3.00 3.85 4.81 5.52 
06-14-20247 2.77 3.38 4.20 5.11 5.79 
06-17-20244 1.23 1.78 2.50 3.28 3.85 
06-18-20243 0.55 1.07 1.76 2.49 3.03 
06-20-20241 -0.78 -0.32 0.31 0.95 1.42 

 
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