Basically, what the question says. I compared the open/close % for future but many times that return is way different than the index return. Also, for DJIA, I calculated the actual index (as it is just a simple average, divided by a divisor) - same issue.
Been scratching my head to understand this - if anyone knows, please enlighten me. Recent dates such as Oct 15 and Nov 6 are especially off for DJIA. Is there a reason for this?
Edit 1: obv, I’m looking at synchronous times of 9:30 am ET and 4 pm ET close.
Edit 2:
let’s look at Oct 15 2024 for DJIA index. Using DJIA because it’s easier to replicate using 30 stocks with simple avg.
The open was 43,240.17 and close was 42,740.42 (per Google finance and Yahoo finance). so the return is -1.16%
Futures check: If you look at the YM futures contract, the contract at 9:30 am was 43203 and close at 4pm ET was 43006. so the return is -.45%.
30 stock components check: I also averaged the component stocks for DJIA. the sum of the open of all stocks and the sum of all the close of stocks ties out well. (ignoring the divisor, which doesn’t matter for 1 day return) open: 6358.09 close: 6328.52 with -.45%.
I can provide the open and close for the components for that day if needed.
would you agree the daily futures open/close return would be very similar to index open/close return? You can check it yourself - it is completely out of whack.
Talking about futures prices taken at 9:30 am ET and 4 pm ET close
I also reviewed the open and close prices of the 30 component stocks in the DJIA using their method. While the close values align well, the open values often deviate—sometimes by as much as 1%!
Qi said: @Eli
Can you specify a particular day that deviated, so we are looking at the same thing?
thanks so much for looking into this…
let’s look at Oct 15 2024 for DJIA index. Using DJIA because it’s easier to replicate using 30 stocks with simple avg.
The open was 43,240.17 and close was 42,740.42 (per Google finance and Yahoo finance). so the return is -1.16%
Futures check: If you look at the YM futures contract, the contract at 9:30 am was 43203 and close at 4pm ET was 43006. so the return is -.45%.
30 stock components check: I also averaged the component stocks for DJIA. the average of the open of all stocks and the average of all the close of stocks ties out well. (ignoring the divisor, which doesn’t matter for 1 day return) open: 6358.09 close: 6328.52 with -.45%.
I can provide the open and close for the components for that day if needed.
Futures close at 5 PM EST and reopen at 6 PM EST. So their change since open is since the 6 PM reopen, whereas the cash indices open at 9:30 and close at 4 PM.
Corey said:
Futures close at 5 PM EST and reopen at 6 PM EST. So their change since open is since the 6 PM reopen, whereas the cash indices open at 9:30 and close at 4 PM.
no - i’m talking about the return of close/return taken at the same time: 9:30 am and 4 pm ET.
To add a little more confusion to what u/kiwimancy said about futures.
While equity futures don’t pause for trading until 5pm ET. The fixing price which many traders care about is calculated during the last 30 seconds before 4pm ET. The settlement price is also calculated at 4pm ET.
Also - it depends on what you mean by DJIA and SP500.
For example SPX index options stop trading at 4:15pm ET during the regular trading session. As do some liquid ETFs like SPY.
@Griffin
no - i’m talking about the return of close/open taken at the same time: 9:30 am and 4 pm ET.
ignoring futures for a minute… I also checked just the open and close of the 30 components stocks of DJIA, using their method. the close values are good but the open values don’t match very well… some times by as much as 1% !
Griffin said: @Eli
Can you please provide a specific example so we are all looking at the same thing?
please see Edit 2 in my original post above for Oct 15 2024.
Hmm - maybe dividends? Or was there maybe a corporate action on one of the constituents? I think the index divisor is impacted by dividends and corporate action.