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This is in relation to the excellent article by Bob Fulks about
Back-Adjusting Futures Contract. As described in that article, method 4
(Splice contracts together with backward price adjustment at contract
boundaries) deals with an example of a jump of 12 points between 2
successive contracts. You can refer to the article at
http://www.traderstech.net/cntcontr.pdf
My question is how do we define this "jump"? Is it
a) Closing price at a certain date? (which date?)
b) Settlement price at a certain date? (which date?)
c) some other method? maybe the average of closing prices over a few
dates? Must it be closing / settlement price? etc. etc.
Thanks,
Abhijit
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