Underlying Futures Contract: CME Live Cattle (LC)
Depth: Continuous Futures Contract #1 (LC1)
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: 40,000 pounds (~18 metric tons)
Deliverable Good: 55% Choice, 45% Select, Yield Grade 3 live steers (or live heifers, effective with the August 2015 contract)
Tick Size: $.00025 per pound (=$10 per contract)
Pricing Unit: Cents per pound
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.