Underlying Futures Contract: NYMEX WTI Crude Oil (CL)
Depth: Continuous Futures Contract #1 (CL1)
Roll Date: Roll on Last Trading Day. Contracts roll on the last trading day of the expiring or front contract. Thus the continuous contract history is a non-overlapping end-to-end concatenation of underlying individual contracts, spliced on successive expiry dates.
Price Adjustment: Calendar Weighted Method. The price gap between consecutive contracts is smoothed by following a weighted-average process. The continuous contract gradually shifts from representing 100% front and 0% back weighting, to 0% front and 100% back weighting, over a period of 5 days. This price adjustment corresponds to a mechanical roll strategy wherein the trader rolls 20% of the position every day, for 4 days before the roll date.
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: 1,000 barrels
Deliverable Good: Delivery shall be made free-on-board (F.O.B.) at any pipeline or storage facility in Cushing Oklahoma with pipeline access to Enterprise Cushing storage or Enbridge Cushing storage. Delivery shall be made in accordance with all applicable Federal executive orders and all applicable Federal State and local laws and regulations.
Tick Size: $0.01per barrel
Pricing Unit: U.S. Dollars and Cents per barrel
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.