Underlying Futures Contract: NYMEX Gold (GC)
Depth: Continuous Futures Contract #1 (GC1)
Roll Date: Roll on Open Interest Switch. Contracts roll when the open interest of the back contract exceeds that of the front contract. This roll method is also sometimes called ""liquidity-based rolling"" since a trading position based on this rule will always be concentrated in the most liquid futures contract.
Price Adjustment: Forwards Panama Canal Method. Price histories of each underlying contract are shifted up or down by a constant amount, starting with the oldest contract and working forwards, so as to eliminate jumps in price between consecutive contracts. Note that in this method, the current continuous contract price does not match the current underlying futures price, due to the cumulative effect of all the historical adjustments.
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: 100 troy ounces
Deliverable Good: Gold delivered under this contract shall assay to a minimum of 995 fineness.
Tick Size: $0.10 per troy ounce
Pricing Unit: U.S. Dollars and Cents per troy ounce
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.