No, I don't have the volume data.  You are right for thinking of another possibility that the closing on some component stocks went out of wack (due to lack of LOC depth, so that MOCs swept thru the stack).   To really dig deeper, one needs to find out which component stocks had closings that were s...

I guess I should rephrase to be more precise: SPX index closed on 9/29/08 at 1106.42. This means that people left limit-on-close sell orders on the component stocks at levels collectively led to the SPX being at 1106.42. The puzzling thing is that at 15 minutes before close (when they could still p...

On certain days, the SP500 index close level for the day would fall outside of range of the SP500 index levels published during the day, based on the data I have. Examples: 6/25/04: Daily close = 1134.43. Market never traded that low. (Intra-day at around 1137.) 9/29/08: Daily close = 1106.42. Mark...