Underlying Futures Contract: CME Japanese Yen JPY (JY)
Depth: Continuous Futures Contract #1 (JY1)
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: 12,500,000 Japanese yen
Deliverable Good: 12,500,000 Japanese yen
Tick Size: $.000001 per Japanese yen increments ($12.50/contract). $.0000005 per Japanese yen increments ($6.25/contract) for JPY/USD futures intra-currency spreads executed on the trading floor and electronically, and for AON transactions.
Pricing Unit: US dollars and cents
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.