March 1, 2007
When Index Calculations Lag
Everyone knows about the Dow Jones Industrial Average calculation glitch during Tuesday’s slide. Here are a couple overlay charts: 1) the Dow futures with the DJIA, and 2) the Diamonds ETF with the DJIA. You can see that both the futures and the ETF were tracking the Dow component stocks correctly the whole time. There were no opportunities for arbitrage.
I don’t even watch indexes on a quote sheet anymore (who watches the DJIA intraday anyway?), but I do follow all the ETFs based on major indexes closely. I can trade the DIA; I can’t trade the DJIA.
Cat: | Time: 8:41 pm (utc+8)
March 1st, 2007 at 8:55 pm
Leave it to the Chairman to sort it all out.
BTW, I still can’t see your images in BlogLines.
March 1st, 2007 at 9:56 pm
Mike: I think Bloglines doesn’t like it when the images come from //maoxian.com as opposed to //www.maoxian.com and sometimes I’m not careful and neglect the www … of course that might not have anything to do with the images not displaying … these two charts just appeared for me in Bloglines, hmmm. Do some appear and some not or do none ever appear?
March 1st, 2007 at 10:06 pm
Usually your charts flash on the screen for about a half second and then disappear. I just reloaded your feed and now I can see today’s charts in bloglines. But I’m also looking at your posts going back to Feb. 24th and I can’t see images in any of those other posts….
Writing that made me think it might be a cache thing — in other words, today’s images were in my browser’s cache and that’s why I can now see them in Bloglines. So I just tried to view today’s post in Bloglines on my other computer and I can not see the images on that machine.
March 1st, 2007 at 10:29 pm
Mike: Huh, well that’s a pain… no idea why it’s happening. Of course I just discovered that my Wordpress header had links to non-existent RSS feeds which Google auto-detected … meaning anyone searching for the Maoxian feed using Google Reader got nonsense info… another dozen potential readers lost no doubt. ;-)
I’ll ask my nerdy friends (hang on, you’re one of them ;-0) what the Bloglines image problem could be and work on a fix.
March 1st, 2007 at 11:24 pm
Nice to see the real thing, after seeing some phony comparisons on other blogs.
March 1st, 2007 at 11:46 pm
yo: Yeah, I think some folks were looking at some really screwy data and coming to some pretty preposterous conclusions. ;-)
March 2nd, 2007 at 4:06 am
Hi, I made an update to my previous post discussing this issue in the wake of a charting error . Error notwithstanding, I respectfully disagree with your analysis regarding the lack of arbitrage opportunities. Regards, Roger
March 3rd, 2007 at 12:24 am
Damn, it looks like Roger’s got you.
March 3rd, 2007 at 1:02 pm
Surely the index/stat arb traders/platforms would have picked up on the divergence…
March 3rd, 2007 at 8:47 pm
PA: The number that Dow Jones publishes makes no difference to the arbitragers … they track the basket of component stocks (the cash market) and the futures. Read Ryan’s comment at Roger’s site — he makes my point better than I can.
March 5th, 2007 at 2:57 am
of course it could all be an illusion, but I have found big round numbers to matter in the DJIA, for example 12000 in the dow is coming up and will be an interesting pivot. The market seems to like to test and retest them. I would feel less well armed without knowledge of the big round numbers in trading.