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I think it's pretty rare to get a true gap on the cash stock indices
like OEX and SPX. It takes a while for all those stocks to open and (I
think) until they do, the index is calculated using the closing price
for the ones that aren't open. So, when the SP futures are up 20 handles
or something at the open, order imbalances in the stocks slow their
opening and it takes a few minutes for the cash indices to catch up.
When you see the index shooting up in giant steps right after the open,
each step probably just means that another one of the big stocks opened.
--
Dennis
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