[Gimbal]

It seems to be the first picture that is saved. I don't know if I can change the order but now my K5 first takes a normal exposure, then an underexposed followed by an overexposed picture. The one being saved as a raw is the normally exposed one.

[KyPainter]

Haha, well, speculation is speculation and is usually wrong. The idea struck me to sweep across my room while taking an HDR image so I'd get ghosts of all three images on the jpg and then save the raw and see what was on it. When I did that it was clear that the raw file saved is one of the three images taken, only it's not the last of the three, it's the first.

I started on a bookcase, sweeping left to right across a corner shelf and a closet. My HDR jpg shows ghosts of all three images superimposed but the raw file saved is only of the bookcase - the first image taken.

I don't work with real HDR files, but the fact that they work with 32 bits would preclude the camera from spitting out a raw file with more bits of data than the jpg. Just because it doesn't, it doesn't mean that it couldn't. It certainly could spit out an unprocessed (beyond the HDR) version of the HDR image if there is one in there. Perhaps something for a future Pentax camera to do...

Edit: see I was writing while Gimbal was posting