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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 05-14-2024 to the Last Trade Date of 09-19-2024.]
Updated: Tuesday, May-14-2024
12:15am 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)
05-14-2024129 69.52 72.17 75.77 83.44 89.08 
05-15-2024128 69.78 72.41 75.98 83.59 89.19 
05-16-2024127 70.14 72.75 76.30 83.85 89.40 
05-17-2024126 69.68 72.27 75.79 83.28 88.80 
05-20-2024123 68.09 70.63 74.07 81.39 86.79 
05-21-2024122 67.59 70.11 73.52 80.79 86.14 
05-22-2024121 67.11 69.61 73.00 80.21 85.52 
05-23-2024120 66.67 69.14 72.50 79.66 84.93 
05-24-2024119 65.99 68.45 71.78 78.88 84.11 
05-28-2024115 63.30 65.68 68.91 75.78 80.85 
05-29-2024114 62.68 65.04 68.24 75.06 80.08 
05-30-2024113 62.23 64.57 67.75 74.50 79.49 
05-31-2024112 62.24 64.57 67.71 74.41 79.36 
06-03-2024109 60.63 62.89 65.96 72.48 77.30 
06-04-2024108 60.16 62.40 65.44 71.91 76.69 
06-05-2024107 59.60 61.83 64.84 71.26 75.99 
06-06-2024106 59.27 61.48 64.46 70.82 75.52 
06-07-2024105 59.45 61.64 64.60 70.89 75.55 
06-10-2024102 57.81 59.94 62.82 68.94 73.47 
06-11-2024101 57.10 59.21 62.06 68.13 72.62 
06-12-2024100 56.55 58.64 61.46 67.47 71.92 
06-13-202499 55.91 57.98 60.78 66.73 71.14 
06-14-202498 56.37 58.42 61.19 67.08 71.45 
06-17-202495 54.94 56.93 59.62 65.34 69.58 
06-18-202494 54.28 56.25 58.91 64.57 68.77 
06-20-202492 52.95 54.88 57.49 63.04 67.15 
06-21-202491 52.69 54.60 57.18 62.67 66.74 
06-24-202488 50.81 52.66 55.16 60.47 64.41 
06-25-202487 50.11 51.95 54.42 59.67 63.57 
06-26-202486 49.40 51.21 53.65 58.85 62.70 
06-27-202485 48.72 50.51 52.92 58.06 61.88 
06-28-202484 48.53 50.30 52.69 57.77 61.54 
07-01-202481 46.59 48.31 50.61 55.51 59.16 
07-02-202480 45.87 47.56 49.84 54.69 58.29 
07-03-202479 45.29 46.96 49.21 54.00 57.55 
07-05-202477 44.77 46.40 48.59 53.26 56.73 
07-08-202474 42.69 44.26 46.37 50.87 54.21 
07-09-202473 42.04 43.59 45.67 50.10 53.40 
07-10-202472 41.97 43.50 45.56 49.93 53.19 
07-11-202471 41.23 42.73 44.76 49.08 52.29 
07-12-202470 40.48 41.97 43.97 48.22 51.39 
07-15-202467 38.80 40.23 42.15 46.22 49.26 
07-16-202466 38.12 39.53 41.42 45.44 48.43 
07-17-202465 37.43 38.82 40.68 44.64 47.59 
07-18-202464 36.77 38.14 39.97 43.87 46.78 
07-19-202463 36.38 37.72 39.53 43.37 46.23 
07-22-202460 34.19 35.48 37.20 40.86 43.59 
07-23-202459 33.50 34.76 36.46 40.06 42.75 
07-24-202458 32.82 34.06 35.72 39.27 41.91 
07-25-202457 32.10 33.32 34.96 38.44 41.04 
07-26-202456 31.50 32.70 34.31 37.73 40.29 
07-29-202453 29.28 30.42 31.94 35.18 37.60 
07-30-202452 28.51 29.62 31.12 34.30 36.68 
07-31-202451 28.18 29.27 30.74 33.86 36.20 
08-01-202450 27.55 28.62 30.06 33.13 35.41 
08-02-202449 27.28 28.33 29.74 32.75 34.99 
08-05-202446 25.32 26.31 27.64 30.46 32.57 
08-06-202445 24.54 25.51 26.81 29.57 31.63 
08-07-202444 23.83 24.80 26.09 28.86 30.92 
08-08-202443 23.05 24.02 25.32 28.08 30.14 
08-09-202442 22.71 23.68 24.98 27.74 29.80 
08-12-202439 20.77 21.74 23.04 25.80 27.87 
08-13-202438 20.47 21.44 22.74 25.50 27.56 
08-14-202437 19.75 20.72 22.02 24.71 26.71 
08-15-202436 20.02 20.99 22.29 24.90 26.85 
08-16-202435 19.91 20.88 22.18 24.71 26.61 
08-19-202432 18.24 19.20 20.48 22.81 24.54 
08-20-202431 17.45 18.41 19.69 21.94 23.63 
08-21-202430 16.70 17.65 18.92 21.11 22.74 
08-22-202429 15.95 16.89 18.16 20.28 21.86 
08-23-202428 15.31 16.24 17.50 19.55 21.09 
08-26-202425 12.74 13.65 14.86 16.73 18.12 
08-27-202424 12.30 13.20 14.40 16.20 17.55 
08-28-202423 11.41 12.30 13.48 15.23 16.53 
08-29-202422 10.57 11.44 12.61 14.30 15.56 
08-30-202421 10.36 11.22 12.37 14.00 15.21 
09-03-202417 7.59 8.39 9.46 10.87 11.92 
09-04-202416 6.82 7.60 8.65 10.01 11.02 
09-05-202415 6.35 7.12 8.15 9.45 10.42 
09-06-202414 6.50 7.25 8.26 9.51 10.44 
09-09-202411 4.36 5.05 5.98 7.08 7.90 
09-10-202410 3.99 4.66 5.57 6.62 7.40 
09-11-20249 3.24 3.90 4.77 5.77 6.52 
09-12-20248 2.65 3.28 4.13 5.08 5.79 
09-13-20247 2.31 2.92 3.74 4.65 5.32 
09-16-20244 1.57 2.11 2.84 3.61 4.18 
09-17-20243 0.89 1.41 2.10 2.83 3.37 
09-18-20242 0.18 0.67 1.33 2.02 2.52 
09-19-20241 -0.51 -0.06 0.58 1.22 1.68 

 
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