Underlying Futures Contract: CME Kansas City Wheat (KW)
Depth: Continuous Futures Contract #2 (KW2)
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: 5,000 bushels (~136 metric tons)
Deliverable Good: No. 2 at contract price with a maximum of 10 IDK per 100 grams; No. 1 at a 1 1/2-cent premium. Deliverable grades of HRW shall contain a minimum 11% protein level. However, protein levels of less than 11%, but equal to or greater than 10.5% are deliverable at a ten cent (10Â¢) discount to contract price. Protein levels of less than 10.5% are not deliverable. When warehouse receipts are surrendered to the issuer for load-out, the taker of delivery shall have the option to, at the takerâ€™s expense, request in the written load-out instructions that the wheat contain no more than 2 ppm of deoxynivalenol (vomitoxin). A determination of the level of vomitoxin shall be made at the point of origin by the Federal Grain Inspection Service or such other third party inspection service mutually agreeable to the maker and taker of delivery. A determination of the level of vomitoxin shall be based on the average test results of the wheat loaded in a single day from a single warehouse for each taker of delivery.
Tick Size: 1/4 cent per bushel ($12.50 per contract)
Pricing Unit: Cents and quarter cents per bushel
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.