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IndexArb Values vs. Time
S&P 500 SEP 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 04-29-2024 to the Last Trade Date of 09-19-2024.]
Updated: Saturday, Apr-27-2024
3:45pm 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)
04-29-2024146 74.33 78.94 85.13 98.01 107.60 
04-30-2024145 73.79 78.37 84.52 97.31 106.83 
05-01-2024144 73.14 77.68 83.79 96.50 105.95 
05-02-2024141 71.30 75.75 81.73 94.17 103.42 
05-03-2024140 70.85 75.27 81.21 93.56 102.75 
05-06-2024139 70.32 74.70 80.60 92.87 101.99 
05-07-2024138 69.90 74.26 80.11 92.29 101.35 
05-08-2024137 69.27 73.60 79.41 91.50 100.49 
05-09-2024134 68.05 72.28 77.97 89.79 98.59 
05-10-2024133 68.29 72.49 78.14 89.87 98.60 
05-13-2024132 67.66 71.83 77.43 89.07 97.74 
05-14-2024131 67.47 71.61 77.17 88.73 97.33 
05-15-2024130 67.64 71.74 77.26 88.73 97.26 
05-16-2024127 66.63 70.64 76.03 87.23 95.57 
05-17-2024126 66.29 70.27 75.61 86.73 95.00 
05-20-2024125 65.98 69.93 75.23 86.26 94.47 
05-21-2024124 65.43 69.34 74.61 85.55 93.69 
05-22-2024123 64.95 68.84 74.06 84.91 92.98 
05-23-2024119 62.39 66.15 71.20 81.70 89.51 
05-24-2024118 61.70 65.43 70.43 80.84 88.59 
05-28-2024117 61.13 64.83 69.79 80.11 87.80 
05-29-2024116 60.45 64.11 69.04 79.27 86.89 
05-30-2024113 58.58 62.15 66.95 76.92 84.34 
05-31-2024112 58.59 62.13 66.88 76.76 84.12 
06-03-2024111 58.45 61.96 66.67 76.46 83.76 
06-04-2024110 57.90 61.38 66.04 75.75 82.97 
06-05-2024109 57.35 60.79 65.42 75.03 82.19 
06-06-2024106 55.56 58.91 63.41 72.76 79.72 
06-07-2024105 55.74 59.06 63.52 72.78 79.68 
06-10-2024104 55.44 58.73 63.14 72.32 79.15 
06-11-2024103 54.73 57.99 62.36 71.44 78.21 
06-12-2024102 54.11 57.34 61.67 70.66 77.37 
06-13-202499 52.03 55.16 59.36 68.09 74.60 
06-14-202498 52.72 55.82 59.98 68.62 75.06 
06-17-202496 51.88 54.91 58.99 67.45 73.76 
06-18-202495 51.22 54.23 58.26 66.64 72.88 
06-20-202492 49.19 52.10 56.00 64.12 70.17 
06-21-202491 48.94 51.82 55.68 63.70 69.68 
06-24-202490 48.52 51.36 55.18 63.12 69.04 
06-25-202489 47.83 50.65 54.42 62.27 68.12 
06-26-202488 47.12 49.90 53.64 61.40 67.18 
06-27-202485 45.02 47.71 51.31 58.81 64.40 
06-28-202484 44.85 47.51 51.07 58.48 64.00 
07-01-202483 44.40 47.03 50.55 57.87 63.32 
07-02-202481 42.96 45.53 48.96 56.10 61.43 
07-03-202478 40.95 43.41 46.72 53.60 58.73 
07-05-202477 41.18 43.62 46.88 53.67 58.73 
07-08-202476 40.62 43.02 46.24 52.95 57.94 
07-09-202475 39.98 42.36 45.54 52.15 57.08 
07-10-202474 39.94 42.28 45.42 51.95 56.81 
07-11-202471 37.77 40.02 43.03 49.29 53.96 
07-12-202470 37.05 39.26 42.23 48.40 53.01 
07-15-202469 36.90 39.08 42.01 48.09 52.63 
07-16-202468 36.25 38.40 41.28 47.28 51.75 
07-17-202467 35.58 37.70 40.55 46.45 50.86 
07-18-202464 33.50 35.52 38.24 43.88 48.09 
07-19-202463 33.13 35.12 37.80 43.35 47.49 
07-22-202462 32.50 34.46 37.09 42.55 46.63 
07-23-202461 31.84 33.77 36.36 41.73 45.75 
07-24-202460 31.19 33.09 35.63 40.92 44.87 
07-25-202457 29.04 30.85 33.26 38.29 42.04 
07-26-202456 28.48 30.25 32.63 37.56 41.25 
07-29-202455 27.83 29.57 31.90 36.75 40.37 
07-30-202454 27.03 28.77 31.09 35.84 39.38 
07-31-202453 26.68 28.41 30.73 35.37 38.84 
08-01-202450 24.44 26.16 28.45 32.79 36.04 
08-02-202449 24.16 25.86 28.15 32.39 35.56 
08-05-202448 23.74 25.44 27.71 31.86 34.96 
08-06-202447 22.96 24.64 26.90 30.95 33.98 
08-07-202446 22.29 23.96 26.21 30.17 33.12 
08-08-202443 20.00 21.64 23.83 27.51 30.26 
08-09-202442 19.72 21.34 23.51 27.11 29.79 
08-12-202441 19.51 21.12 23.27 26.77 29.39 
08-13-202440 19.21 20.80 22.93 26.35 28.90 
08-14-202439 18.56 20.13 22.24 25.57 28.06 
08-15-202436 17.35 18.87 20.90 23.98 26.28 
08-16-202435 17.31 18.81 20.81 23.81 26.05 
08-19-202434 17.38 18.86 20.84 23.76 25.93 
08-20-202433 16.67 18.12 20.08 22.91 25.03 
08-21-202432 16.10 17.53 19.45 22.21 24.27 
08-22-202429 13.92 15.28 17.12 19.64 21.52 
08-23-202428 13.38 14.72 16.52 18.96 20.79 
08-26-202427 12.73 14.04 15.81 18.18 19.95 
08-27-202426 12.37 13.66 15.39 17.69 19.40 
08-28-202425 11.55 12.82 14.52 16.74 18.40 
08-29-202421 8.40 9.56 11.11 13.04 14.48 
08-30-202420 8.28 9.41 10.92 12.78 14.17 
09-03-202419 8.16 9.25 10.73 12.52 13.86 
09-04-202418 7.45 8.52 9.95 11.68 12.96 
09-05-202415 5.53 6.51 7.81 9.34 10.47 
09-06-202414 5.83 6.77 8.04 9.49 10.58 
09-09-202413 5.36 6.27 7.49 8.88 9.92 
09-10-202412 4.90 5.78 6.95 8.28 9.27 
09-11-202411 4.21 5.05 6.18 7.45 8.39 
09-12-20248 2.23 2.97 3.96 5.04 5.84 
09-13-20247 1.95 2.66 3.60 4.62 5.37 
09-16-20246 2.76 3.43 4.33 5.28 5.99 
09-17-20245 2.12 2.75 3.61 4.50 5.16 
09-18-20244 1.45 2.04 2.84 3.68 4.29 
09-19-20241 -0.55 -0.08 0.57 1.23 1.70 

 
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