User avatar
Topic Author
Posts: 48
Joined: October 24th, 2010, 2:54 am

Continuation Futures prices

June 15th, 2013, 12:41 pm

Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three futures, F1, F2 F3. They basically have monthly, 2 month and 3 month expiries. I have daily OHLC data for all of the, but need to create continuous time series.I am basically researching on convergence-divergence ideas in price space. What is wrong with just the following procedure1) Just grab the F1 price and at the roll data switch to F2 or the new front month?When I went through the papers and discussion on creating continuous contract, please correct me if I am wrong but it seemed that the procedure is the follows, to get the front month contract.Say today is expiry and we have the data for todayF1 - x F2 - y F3 - zHere x is the settlement price of the expired contract F1. I go back in the past until the previous expiry and multiply all prices of F1 by y/x. At the day of expiry I get for the price of F1 as x*y/x = y. Is that true?If yes the problem with this approach is that how am I supposed to get continuous prices for F2 and F3, since it is not the case that I have an F4 or F5, I strictly have only 3 contracts at any given point in time. Please help. I think I am lost.

PW by JB has been "Serving the Quantitative Finance Community" since 2001. Continued...

Twitter LinkedIn Instagram



Looking for a quant job, risk, algo trading,...? Browse jobs here...