These highs and lows that occur outside regular trading hours shouldn’t be reflecting on daily, weekly, and monthly charts, but for some reason they are. This year’s low of 10.62 happened in the middle of the night and was obviously a result of wide spreads, but still shows up on charts that aren’t intraday.
Actually - the reason this was done was to get an apples to apples comparison for VIX before and after extended hours trading for SPX and VIX outside normal trading hours for a carry trade study I'm working on with another IU professor. We were looking at daily VIX ranges going back to 2009. The open is no good because it is based on the night before and not the equity market open, the high on Monday this past week outside of regular trading hours made me dig a bit more and find 38% of daily highs occurred outside of regular trading hours.
These highs and lows that occur outside regular trading hours shouldn’t be reflecting on daily, weekly, and monthly charts, but for some reason they are. This year’s low of 10.62 happened in the middle of the night and was obviously a result of wide spreads, but still shows up on charts that aren’t intraday.
Actually - the reason this was done was to get an apples to apples comparison for VIX before and after extended hours trading for SPX and VIX outside normal trading hours for a carry trade study I'm working on with another IU professor. We were looking at daily VIX ranges going back to 2009. The open is no good because it is based on the night before and not the equity market open, the high on Monday this past week outside of regular trading hours made me dig a bit more and find 38% of daily highs occurred outside of regular trading hours.