SPX SET Gaps

U

uptickk

I remember reading a similar post on ET before but I can’t find it. I want to compare the SPX weekly Thursday close price to the Friday SET calculation and then compare that to the VIX (I understand the VIX is based on futures volatility but it will have to do for now). I can pull the SPX weekly values and the SET values from, CBOE, but I am not sure of all the exact weekly SET dates which are important to the analysis.
Any help would be greatly appreciated
 
It is actually based off the SET value, not the opening prints which can be very different. What happens when Friday is a holiday or the first of the month (My issue is when the expiration week is atypical)?
 
Quote from uptickk:

It is actually based off the SET value, not the opening prints which can be very different. What happens when Friday is a holiday or the first of the month (My issue is when the expiration week is atypical)?
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The SET is calculated using the opening prints of each of the component stock.

Take a look at the contract specs. It says exactly what happens when Friday is a holiday.

I'm not sure that the first of the month has to do with anything.
 
if the first day of the month is a friday, you count it as one of the weeks. the cboe publishes a calender with the expiration dates on it. i'm sure it's on the site somewhere.
 
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