Underlying Futures Contract: CBOE VIX Futures (VX)
Depth: Continuous Futures Contract #2 (VX2)
Roll Date: Roll on First Day of Delivery Month. Contracts roll on the first day of the delivery month of the expiring or front contract. If the front contract expires before the first day of the deliverty month, then contracts roll on the expiry date instead.
Price Adjustment: Unadjusted. Prices are not adjusted in any way. Continuous contracts reflect raw prices from the underlying contracts.
Methodology: To read more about the Stevens roll date and price adjustment methodology, see the Documentation tab on the Stevens Continuous Futures database home page.
Contract Size: The contract multiplier for each VX futures contract is $1000.
Deliverable Good: None, this contract is cash settled
Tick Size: 0.05 points, equal to $50.00 per contract
Pricing Unit: Index Points
Columns: Open, High, Low, Settle, Volume, Previous Day Open Interest. Note that Open Interest is always reported for the previous trading day, to avoid lookahead bias.