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IndexArb Values vs. Time
S&P 500 DEC 2024 Futures Contract
[Index Arbitrage Program Trading Premium Values from 09-27-2024 to the Last Trade Date of 12-19-2024.]
Updated: Friday, Sept-27-2024
12:50am ET

S&P 500 DEC 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)
09-27-202484 52.72 54.40 56.63 59.40 61.46 
09-30-202481 50.67 52.30 54.49 57.17 59.17 
10-01-202480 50.03 51.66 53.83 56.48 58.46 
10-02-202479 49.52 51.13 53.29 55.91 57.87 
10-03-202478 48.68 50.28 52.42 55.01 56.95 
10-04-202477 48.54 50.13 52.24 54.81 56.73 
10-07-202474 46.05 47.60 49.66 52.15 54.00 
10-08-202473 45.22 46.76 48.80 51.26 53.10 
10-09-202472 44.53 46.06 48.09 50.51 52.33 
10-10-202471 44.44 45.95 47.96 50.36 52.16 
10-11-202470 43.63 45.13 47.12 49.49 51.27 
10-14-202467 41.07 42.52 44.47 46.75 48.47 
10-15-202466 40.70 42.14 44.07 46.33 48.02 
10-16-202465 39.85 41.27 43.18 45.41 47.09 
10-17-202464 39.23 40.65 42.54 44.74 46.40 
10-18-202463 38.71 40.11 41.98 44.16 45.79 
10-21-202460 36.32 37.68 39.49 41.59 43.17 
10-22-202459 35.84 37.19 38.98 41.06 42.61 
10-23-202458 35.08 36.41 38.19 40.23 41.77 
10-24-202457 34.22 35.54 37.30 39.32 40.83 
10-25-202456 33.42 34.72 36.46 38.45 39.94 
10-28-202453 30.96 32.22 33.90 35.82 37.25 
10-29-202452 30.10 31.35 33.01 34.90 36.31 
10-30-202451 29.26 30.50 32.14 34.00 35.40 
10-31-202450 28.80 30.02 31.65 33.48 34.86 
11-01-202449 28.46 29.66 31.27 33.08 34.43 
11-04-202446 26.05 27.21 28.76 30.49 31.78 
11-05-202445 25.19 26.34 27.87 29.58 30.85 
11-06-202444 24.39 25.52 27.03 28.71 29.96 
11-07-202443 23.55 24.67 26.16 27.82 29.05 
11-08-202442 23.47 24.57 26.04 27.67 28.89 
11-11-202439 20.96 22.02 23.43 24.98 26.14 
11-12-202438 20.57 21.61 23.01 24.53 25.68 
11-13-202437 20.36 21.39 22.76 24.26 25.38 
11-14-202436 19.66 20.68 22.03 23.51 24.61 
11-15-202435 20.08 21.08 22.41 23.86 24.95 
11-18-202432 18.09 19.05 20.32 21.70 22.72 
11-19-202431 17.25 18.19 19.44 20.79 21.80 
11-20-202430 16.68 17.60 18.84 20.16 21.15 
11-21-202429 16.52 17.43 18.64 19.94 20.91 
11-22-202428 15.79 16.68 17.88 19.15 20.10 
11-25-202425 12.99 13.84 14.97 16.17 17.07 
11-26-202424 12.49 13.32 14.43 15.61 16.49 
11-27-202423 11.62 12.43 13.52 14.67 15.53 
11-29-202421 10.12 10.91 11.96 13.06 13.88 
12-02-202418 8.63 9.37 10.36 11.38 12.15 
12-03-202417 7.78 8.50 9.47 10.47 11.22 
12-04-202416 7.02 7.72 8.67 9.65 10.38 
12-05-202415 6.47 7.16 8.08 9.04 9.75 
12-06-202414 6.81 7.48 8.38 9.31 10.01 
12-09-202411 4.37 4.99 5.83 6.69 7.33 
12-10-202410 3.89 4.50 5.31 6.15 6.77 
12-11-20249 3.22 3.81 4.61 5.42 6.03 
12-12-20248 2.51 3.09 3.86 4.65 5.24 
12-13-20247 2.41 2.97 3.72 4.49 5.06 
12-16-20244 1.12 1.63 2.31 3.01 3.52 
12-17-20243 0.42 0.92 1.58 2.25 2.75 
12-18-20242 -0.20 0.27 0.92 1.56 2.04 
12-19-20241 -0.93 -0.48 0.15 0.77 1.22 

 
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