the DIFFERENCE between perpetual and continuous SP's on 820422

[Mark Johnson <janitor@xxxxxxxxxxxx>]

TODAY IS:  14 JUNE 1999

I went and looked at the various types of long term data series
for the S&P 500 futures (the "spoos") on their 2nd day of trading.

The five different series I looked at were:

  (1) CSI UA "continuous" contracts, rolled on the 8th calendar
      day of the delivery month  (SP_0080B)

  (2) CSI UA "continuous" contracts, rolled on open interest
      crossover "reported".  (SP_0@xxx)

  (3) My own continuous contracts, rolled on the 8th calendar
      day of the delivery month  (my own hand written software)

  (4) CSI UA "perpetual" contracts  (SP_0303P)

  (5) The actual futures contract itself (June 1982 S&P futures),
      as reported by Technical Tools



Contract                Date    Open    High    Low     Close   Vol   OpenInt
==============================================================================
CSI_BACKADJ_CALENDAR    820422  380.90  382.30  380.90  381.80  5966  1746
CSI_BACKADJ_OPENINT     820422  380.30  381.70  380.30  381.20  5966  1746
MJ_BACKADJ_CALENDAR     820422  380.45  381.85  380.45  381.35  2827   719
CSI_PERPETUAL           820422  117.30  118.65  117.25  118.20  5966  1746
TT_ACTUAL_FUT_SP82M     820422  117.00  118.40  117.00  117.90  2827   719



As a child of four can plainly see, there is PLENTY of difference among
these.  The Perpetual people at CSI would ask you to look at the bottom
two lines and notice how similar they are.

Me, I trade line (3).  It is my own personal hand-created implementation
of continuous contracts rolled over on fixed calendar dates.  It may not
be *your* cup of tea, but it suits me just fine.

Mark Johnson


--
   Mark Johnson     Silicon Valley, California     mark@xxxxxxxxxxxx

   "... The world will little note, nor long remember, what we
    say here..."   -Abraham Lincoln, "The Gettysburg Address"