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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.
I think the best is to use the difference between the closing price
for the current contract and the closing price of the next contract,
on the same date. The date can be determined a number of ways, such as
when the next contract volume exceeds the current contract volume for 3
days in a row, or the same using open interest, or some predefined dates
like Pinnacle uses, as described at
http://www.pinnacledata.com/clc.html#details
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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