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Why Daily Price Change Uses the Previous Close

Article Quant Q&A · Author: Roger Smith
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Summary

The document clarifies why a quoted daily price change may not equal the difference between the day’s open and close. Market data services commonly calculate the day’s net change by subtracting the previous session’s close from the current session’s close. The open-to-close difference measures a separate move within the current session.

The example compares an ETF’s reported open and close with its displayed daily change. The open-to-close calculation produces the smaller intraday move, while comparing the current close with the prior close produces the quoted net change. This distinction helps reconcile figures across financial sites and keeps the chosen reference point clear when comparing returns. The explanation is limited to the convention described; vendors may label or display fields differently, so users should check the definition of each reported change.

Key ideas

  • A displayed daily net change often compares the current close with the previous session’s close.
  • The open-to-close difference measures movement during the current session only.
  • These two calculations can produce different figures without either being arithmetically inconsistent.
  • Check a data provider’s field definition before interpreting a reported price change.

Tags

EquitiesUS markets
Full text
# Market Discrepancy in ETFs


# Market Discrepancy in ETFs












Today Yahoo, Google, CNBC, etc. are all reporting an open for DDM of \$106.95, a close of \$107.69 and a delta on the day of \$2.69. But the arithmetic difference between the open and the close is actually \$0.74. Why is there such a huge discrepancy?

## Answer by Louis Marascio (score 2)

https://quant.stackexchange.com/a/9644

The day's net change is typically displayed as the $Close$ to $Close$ difference. So today's close of $\$107.69$, yesterday's close is $\$105.00$. So the net change, $\$107.69 - \$105.00 = \$2.69$. If you were to calculate $Open$ to $Close$, you'd get what you expect, $\$0.74$.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.