I trade SPX options and estimating the open is vital to my strategy. Since SPX has no premarket, I use /ES to try to gauge the open. Because they are very similar in price, I simply look at the point gain or drop in /ES and add or subtract that from the previous close for SPX. Lately, the numbers have been way off though. For instance, yesterday (Tuesday 7/28/26) I estimated the open about 5 pts up from Monday’s close because /ES appeared to be trending up about that level. That would have put it at 7415. However, the actual open was 7395, which for my purposes is way too far off. I looked at /ES and indeed it opened about level from the previous day’s 4:00 candle. The first minute candle in /ES yesterday was red; down by 4pts. However, SPX had a robust green candle up by about 20pts. I looked at SPY to see what happened there, and it seems to match /ES better on that first candle. So that doesn’t help me. After the first minute or two, they all start to move about the same with regard to magnitude and direction of the candles.
I’m assuming some or most of the difference might be caused by contracts hitting SPX all at once at 9:30 whereas SPY and /ES are already trading? And on highly volatile days it is worse?
Can anybody out there explain why the open is so different in these?
And… is there a better way for me to try to approximate the opening of SPX?
I use TOS if that matters.
Thanks.