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totient
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Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 26th, 2016, 11:32 pm

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. Market never traded that low. (Intra-day at around 1110.)
7/2/09: Daily close = 896.42. Market never traded that low. (Intra-day at around 898.)

Data Sources:
Daily Closes: Bloomberg and SP official website.
Intra-day ticks: TickData Inc.

I am wondering if 1) I have data error from one of my data sources, or 2) maybe this is just the reality -- i.e. index close is based on primary exchange closing auctions on the component stocks (and maybe some big sellers were relying on the close auctions to get more done instead of hitting the higher bids before 4pm)?

Hope someone familiar with the closing auctions can shed some light. Thanks.
 
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outrun
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Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 27th, 2016, 6:46 am

I think this has to do with "market on close" orders that are traded slighly after regular trading hours but which determine the official closing price.

http://money.stackexchange.com/question ... t-resolved
 
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bearish
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Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 27th, 2016, 1:18 pm

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outrun
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Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 27th, 2016, 1:49 pm

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acastaldo
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Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 27th, 2016, 7:28 pm

I believe the problem arises because you are getting the close and the intraday data from different sources. Presumably the intraday data from S&P would match the S&P HLC data. Although S&P disseminates its own intraday data (and charges for it) many people calculate it on their own, and take the (free) close from S&P.
 
totient
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Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 29th, 2016, 2:55 pm

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 pull their LOC orders), the SPX index was trading at1130+ (see below). In order words, some of the component stocks at that time were trading at levels much higher than some of the limit prices of the standing LOC orders on such component stocks. But why wouldn't these people just pull the LOC and hit the bids on such component stocks? Was the market really that thin that one was willing to give up 24 points to trade size? (Or people thought they could get filled in the closing auctions at levels much better than their limit prices given the one-price Dutch auction nature of the closes?) 

(Of course, SPX intra-day prints for the first 5 minutes or so, including opne, are meaningless. One should use Emini or SOQ instead.)

SPX intra-day trades (chicago times)
09/29/2008,14:44:36,1134.31
09/29/2008,14:44:51,1134.14
09/29/2008,14:45:06,1133.99
09/29/2008,14:45:21,1133.87
09/29/2008,14:45:36,1132.86
09/29/2008,14:45:51,1131.1
09/29/2008,14:46:06,1130.66
09/29/2008,14:46:21,1131.48
09/29/2008,14:46:36,1131.83
09/29/2008,14:46:51,1132.12
09/29/2008,14:47:06,1130.78
09/29/2008,14:47:21,1130.26
09/29/2008,14:47:36,1129.98
09/29/2008,14:47:51,1128.49
09/29/2008,14:48:06,1128.05
09/29/2008,14:48:21,1128.21
09/29/2008,14:48:36,1128.6
09/29/2008,14:48:51,1128.8
 
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outrun
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Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 29th, 2016, 3:40 pm

..or market on close orders (instead of limit), never expecting the market to be (made) so thin?

Some asset managers want to trade at the close so that they have low tracking error.


Can you see the volume traded at the close? Was it big?
 
totient
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Joined: September 26th, 2016, 9:48 pm

Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

September 29th, 2016, 4:59 pm

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 significantly below the intra-day trades done in the last 15 minutes.   

Someone who trades the closing auctions a lot should know this stuff really well.
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