How to split a table in SQL Server into two different related tables inserting foreign key?
I do not believe you will save any storage space by splitting the attributes into two tables. INT uses 4 bytes of storage space.  A date uses 3 bytes. Say you compress down a million rows to just one value. ( Ex There are 1 Million rows that have the combination of Event ID 5 and date 2019-10-07). You will save a total of 3 million bytes. That's only 3 megabytes. 

You could technically do the same thing you want on the other side of the table; split off every combination of MyValue, create a look up table of them, and then join each on a third table. But don't!

Readability and maintenance are things to consider along side just storage cost. So is your time developing this solution. The current 10/7/2019 cost for Azure SQL database storage (past your 32gb of free data) is $0.138/GB/Month. After 3 years of every week gaining a full GB of data(Total storage is now 156gb), you will have only spent a TOTAL of $1,679.18.