### Creating Nearest and 2nd_Nearest series in CSI

Posted:

**Tue Oct 04, 2016 8:45 pm**I want to generate two CSI continuous contact series, “Nearest” and “2nd_Nearest”, such that for any given date, the price in “Nearest” corresponds to the near-expiring contact while the price in “2nd_Nearest” corresponds to the contract expiring after Nearest.

This is straightforward for markets with expiry cycles that are a fixed number of months apart, such as for Live Cattle. However, if the expiry months are not evenly spaced, for example as they are not with Corn, the requirement is not met; i.e. there are dates where the series’ overlap. (see attached spreadsheet)

Are there CSI roll parameters that will create “2nd_Nearest” such that there is no overlap between “Nearest” and “2nd_Nearest” for markets such as Corn?

This is straightforward for markets with expiry cycles that are a fixed number of months apart, such as for Live Cattle. However, if the expiry months are not evenly spaced, for example as they are not with Corn, the requirement is not met; i.e. there are dates where the series’ overlap. (see attached spreadsheet)

Are there CSI roll parameters that will create “2nd_Nearest” such that there is no overlap between “Nearest” and “2nd_Nearest” for markets such as Corn?