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just adding,
that's why most index arb. prog. trading raids come after 10am
regards.
bilo.
----- Original Message -----
From: "Lawrence Chan" <stnahc@xxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, March 21, 2002 10:46 PM
Subject: Re: More Robust OddBall
>
> The opening price calculation of all the cash indexes
> suffer the same problem - some components are opened,
> while some are "adjusting" the bid/ask before they are
> opened. Thus the opening value is always off comparing
> among many different vendors.
>
> You can try using the 9:45 or 10:00 price instead,
> there used to be a data vendor who provide the 10 am
> price of DJ.
>
> Anyone remember who that was?
>
> Lawrence
>
> --- Alex Matulich <alex@xxxxxxxxxxxxxx> wrote:
> > >Just following up on my last post, here are a few recent quote.com
> > >numbers for SPX. Obviously that open (and the high or low if it's the
> > >same) can't be trusted.
> > >
> > >3/1/2002 1106.73 1131.78
> > >3/4/2002 1131.78 1153.84
> > >3/5/2002 1153.84 1146.14
> >
> > etc.
> >
> > 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.
> >
> > However as you said, the only reliable number there is the close.
> >
> > 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.
> >
> > --
> > ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> > // +__> Director of Research and Development
> > // \
> > //___) Unicorn Research Corporation -- http://unicorn.us.com
> >
>
>
> =====
> Lawrence Chan http://www.tickquest.com
> Transform market data into opportunities
>
>
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