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> I used **back-adjusted** continuous data,
> which changes the original price. With un-adjusted data, my SP
> results are much closer to your SPX numbers.
There's another gotcha depending on your data. Most SPX index and daily
SP futures data will include last night's gap as part of today's daily
range. So, the indicator showing high daily volatility and someone
else's observation that it's been gaps followed by no intraday movement
are not inconsistent. The only accurate intraday measures for SP are the
day-only futures or the SPY ETFs.
--
Dennis
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