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> I know, yahoo quotes does the same thing. The data I'm using was
> provided to me by a person using a 'clean' source, so the opens reflect
> the actual open at the beginning of the U.S. trading day, not the
> previous close.
You've obviously missed the point. There is NO SUCH THING as an actual
open for the SPX. It may take 30 minutes for all the stocks to start
trading. So what is the actual open? Is it the first tick when only one
of the 500 stocks has traded? Is it the index calculated on the opening
tick of each of the 500 stocks, even though those ticks may have
happened 30 minutes apart? Is it some committee's consensus of what the
open should be based on the action in the first 1-5 minutes?
> However as you said, the only reliable number there is the close.
It bears repeating. :-)
> I still think there might be some arbitrage opportunity somehow, since
> the SPX options *are* based on the calculated index, whether right or
> wrong, and the SPY seems to follow its own drummer.
The options tend to follow the SPY and the futures. All three are
tradable instruments subject to the laws of supply and demand. They
loosely follow the index and each other but you are making an expensive
mistake if you think you can arb or trade the cash index. The fact that
your index systems blow up when you try to run them on any instrument
you can trade is ample evidence.
PS - as a friend just pointed out privately, the NDX does have a real
open, high and low. Probably because all the stocks are trading early on
the ECNs and Nasdaq has a more realistic method of calculating the open.
SPX is calculated under 'old school' rules.
--
Dennis
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