As Stephen wrote you need to correct the the endtag like this </option> instead of <option>
echo("\t<OPTION value=$i>$i</OPTION>\n");
The reason there was a space is because each time the <option> tag is set, it makes another option for your drop down box, so because the forgot the / (slash) in the ending <option> tag it was output as a blank option.
Hope that wasn't too confusing 😉
I got myself confused here =)