{data_day.tail()}
Open    High    Low Close   Volume
2018-05-20  NaN NaN NaN NaN 0.0
2018-05-21  2732.50 2739.25 2725.25 2730.50 210297692.0
2018-05-22  2726.00 2741.75 2721.50 2738.25 179224835.0
2018-05-23  2731.75 2732.75 2708.50 2710.50 292305588.0
2018-05-24  2726.00 2730.50 2705.75 2725.00 312575571.0
from pandas.tseries.holiday import USFederalHolidayCalendar
from pandas.tseries.offsets import CustomBusinessDay
usb = CustomBusinessDay(calendar=USFederalHolidayCalendar())
<CustomBusinessDay>
data_day_No_Holiday = pd.date_range(start='9/7/2005', end='5/21/2018', freq=usb)
data_day_No_Holiday
DatetimeIndex(['2005-09-07', '2005-09-08', '2005-09-09', '2005-09-12',
               '2005-09-13', '2005-09-14', '2005-09-15', '2005-09-16',
               '2005-09-19', '2005-09-20',
               '2018-05-08', '2018-05-09', '2018-05-10', '2018-05-11',
               '2018-05-14', '2018-05-15', '2018-05-16', '2018-05-17',
               '2018-05-18', '2018-05-21'],
              dtype='datetime64[ns]', length=3187, freq='C')
data_day.set_index(data_day_No_Holidays, inplace=True)
----------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-118-cf7521d08f6f> in <module>()
----> 1 data_day.set_index(data_day_No_Holidays, inplace=True)
      2 # inplace=True tells python to modify the original df and to NOT create a new one.
~/anaconda3/lib/python3.6/site-packages/pandas/core/frame.py in set_index(self, keys, drop, append, inplace, verify_integrity)
   3923         index._cleanup()
-> 3925         frame.index = index
   3927         if not inplace:
~/anaconda3/lib/python3.6/site-packages/pandas/core/generic.py in __setattr__(self, name, value)
   4383         try:
   4384             object.__getattribute__(self, name)
-> 4385             return object.__setattr__(self, name, value)
   4386         except AttributeError:
   4387             pass
pandas/_libs/properties.pyx in pandas._libs.properties.AxisProperty.__set__()
~/anaconda3/lib/python3.6/site-packages/pandas/core/generic.py in _set_axis(self, axis, labels)
    644     def _set_axis(self, axis, labels):
--> 645         self._data.set_axis(axis, labels)
    646         self._clear_item_cache()
~/anaconda3/lib/python3.6/site-packages/pandas/core/internals.py in set_axis(self, axis, new_labels)
   3321             raise ValueError(
   3322                 'Length mismatch: Expected axis has {old} elements, new '
-> 3323                 'values have {new} elements'.format(old=old_len, new=new_len))
   3325         self.axes[axis] = new_labels
ValueError: Length mismatch: Expected axis has 4643 elements, new values have 3187 elements