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IndexArb Values vs. Time
S&P 500 MAR 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 12-11-2023 to the Last Trade Date of 03-14-2024.]
Updated: Saturday, Dec-09-2023
2:30pm ET

S&P 500 MAR 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)
12-11-202397 47.22 50.59 55.09 59.59 62.95 
12-12-202396 46.69 50.03 54.49 58.95 62.29 
12-13-202395 46.07 49.38 53.80 58.22 61.52 
12-14-202392 44.88 48.10 52.40 56.70 59.91 
12-15-202391 44.53 47.71 51.97 56.23 59.42 
12-18-202390 43.87 47.03 51.25 55.47 58.62 
12-19-202389 43.55 46.68 50.85 55.03 58.16 
12-20-202388 43.40 46.50 50.64 54.77 57.87 
12-21-202384 40.57 43.54 47.52 51.50 54.47 
12-22-202383 39.86 42.81 46.74 50.68 53.63 
12-26-202382 39.18 42.09 45.99 49.89 52.80 
12-27-202381 38.85 41.73 45.59 49.45 52.33 
12-28-202377 36.50 39.26 42.96 46.65 49.42 
12-29-202376 36.07 38.80 42.46 46.11 48.85 
01-02-202475 35.50 38.21 41.82 45.44 48.14 
01-03-202474 35.36 38.03 41.61 45.18 47.86 
01-04-202471 33.57 36.16 39.61 43.07 45.65 
01-05-202470 32.87 35.42 38.84 42.25 44.81 
01-08-202469 32.33 34.85 38.23 41.60 44.13 
01-09-202468 32.30 34.80 38.13 41.46 43.96 
01-10-202467 31.70 34.16 37.45 40.75 43.21 
01-11-202463 29.02 31.37 34.50 37.63 39.97 
01-12-202462 28.76 31.08 34.17 37.26 39.58 
01-16-202461 28.13 30.42 33.47 36.52 38.81 
01-17-202460 27.43 29.68 32.70 35.71 37.96 
01-18-202457 25.74 27.90 30.80 33.69 35.85 
01-19-202456 25.20 27.33 30.18 33.03 35.17 
01-22-202455 24.50 26.60 29.41 32.22 34.33 
01-23-202454 23.89 25.96 28.73 31.50 33.58 
01-24-202453 23.23 25.27 28.00 30.74 32.78 
01-25-202450 21.43 23.38 25.99 28.60 30.55 
01-26-202449 20.76 22.68 25.25 27.82 29.75 
01-29-202448 20.13 22.02 24.55 27.08 28.97 
01-30-202447 19.92 21.78 24.27 26.76 28.62 
01-31-202446 19.31 21.14 23.59 26.04 27.87 
02-01-202443 17.45 19.19 21.52 23.84 25.59 
02-02-202442 16.98 18.69 20.98 23.27 24.98 
02-05-202441 16.34 18.02 20.27 22.52 24.20 
02-06-202440 15.74 17.39 19.60 21.81 23.46 
02-07-202439 15.53 17.15 19.32 21.49 23.11 
02-08-202436 14.07 15.60 17.64 19.69 21.22 
02-09-202435 13.93 15.43 17.44 19.44 20.94 
02-12-202434 13.28 14.75 16.71 18.68 20.15 
02-13-202433 12.84 14.28 16.21 18.14 19.57 
02-14-202432 13.28 14.69 16.57 18.46 19.87 
02-15-202428 11.09 12.38 14.11 15.83 17.12 
02-16-202427 10.69 11.95 13.63 15.32 16.58 
02-20-202426 10.06 11.29 12.93 14.58 15.81 
02-21-202425 9.36 10.56 12.17 13.77 14.97 
02-22-202422 7.58 8.69 10.17 11.66 12.77 
02-23-202421 7.41 8.49 9.94 11.38 12.46 
02-26-202420 6.75 7.80 9.20 10.61 11.66 
02-27-202419 6.09 7.11 8.47 9.84 10.85 
02-28-202418 5.91 6.90 8.22 9.55 10.54 
02-29-202415 4.96 5.86 7.06 8.27 9.16 
03-01-202414 4.49 5.36 6.52 7.69 8.55 
03-04-202413 3.84 4.68 5.80 6.92 7.76 
03-05-202412 3.30 4.10 5.19 6.27 7.08 
03-06-202411 2.83 3.61 4.65 5.70 6.47 
03-07-20248 1.47 2.16 3.08 4.00 4.69 
03-08-20247 1.27 1.93 2.81 3.69 4.34 
03-11-20246 0.71 1.33 2.17 3.02 3.64 
03-12-20245 0.20 0.79 1.59 2.39 2.99 
03-13-20244 -0.07 0.49 1.25 2.01 2.57 
03-14-20241 -0.52 -0.06 0.58 1.22 1.68 

 
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