Question about OHLC of indices

Discussion in 'Trading' started by GoodMood, May 20, 2007.

  1. GoodMood



    I've noticed that some indices have an open equal or very very near to their previous close.

    In contrast some other indices do not:
    This index shows some gaps at least.

    Does this mean that for SPX the index-value is not quoted correctly ?

    Why am I asking this ?
    I noticed that the corresponding future values show significant gaps (RTH) while their index does not.

    Any explanations ?

  2. Lucrum


    I've noticed that for years especially between the SPX/DOW and the NDX.
    The NDX will show RTH gaps whereas the cash SPX and DOW rarely do. I tend to prefer using the appropriate ETF's in large part because of this.
    I read the explanation a long time ago as to why this happens but to tell you the truth I don't remember for sure. I think it has something to do with how the indices are calculated near the open. Someone please correct me if I'm wrong but I believe the cash spx and dow are calculated using the opening price of the components that have opened and the closing price of the components that have not yet opened. As opposed to the nasdaq stocks, many of which trade with liquidity before the RTH open. Many of the spx and dow stocks trade very little before the RTH open. Again I may be wrong but that's what I remember anyway.
  3. basis


    The index "live" prices are just time-based snapshots of the last price of all the components at that time. So at 9:30:15 EST, not many stocks have opened in the SPX, and for those that haven't, yesterday's close is used, as it's the official "last" from the primary exchange. This has the effect of making the open/first few prints in large indices look a lot like yesterday's close.

    To get a true "open" number, use ETFs or futures.