Underlying Futures Contract: CME Lean Hogs (LN)
Depth: Continuous Futures Contract #1 (LN1)
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: Backwards Panama Canal Method. Price histories of each underlying contract are shifted up or down by a constant amount, starting with the newest contract and working backwards, so as to eliminate jumps in price between consecutive contracts. Note that in this method, the entire contract history is recalculated on every 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: 40,000 pounds (~18 metric tons)
Deliverable Good: Hog (barrow and gilt) carcasses
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.