Stats › Intraday et microstructure de marché › Futures and cash
The cash index was mechanically stale for twelve minutes, and nobody has measured the lead
| Mesure | Daily low on 24 August 2015 | Note |
|---|---|---|
| S&P 500 cash index | A little more than 5% down at 09:35 | Carried 21 August closes for stocks not yet open |
| S&P 500 fund | 7.8% down at 09:35 | Opened 5.2% down, closed 4.2% down |
| E-mini future | At its 7% limit | Had halted pre-open at the tighter band |
| Fund net asset value from last sale prices | 8% down | Computed, not traded |
| A second S&P 500 fund | Plus de 20% below the prior close | Traded at a large discount until about 09:43 |
Daily lows on the morning of 24 August 2015, against the 21 August close. The cash index stayed well above the futures, the fund and the fund's net asset value until about 09:42 or 09:43, which the regulator attributes to the index provider's pricing method using prior closes for constituents that had not yet opened.
On the morning of 24 August 2015 the cash index stayed well above the futures, the fund and its net asset value for about twelve minutes, because the index was still carrying the prior day's closing prices for stocks that had not yet opened.
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