We have been using the S&P 500 cash index for the bracket areas but what about contracts that don’t have a cash equivalent?
This is where the big picture analysis becomes tricky especially when you’re looking at a market that rolls its contracts every month. I would say the answer to this depends on what you’re looking to see. Are you just looking for psychological levels? Or are you looking for levels that will reflect physical inventory? Psychological levels will be best seen using the front month continuous contract that does not back adjust. If you want to see where potential inventory is sitting, you will want to use the front month continuous back-adjusted contract.
One of the tricky things with certain futures markets is there is volume printing in multiple contract months. Here is an example of what I’m referring to. This is the volume currently being traded within