Underlying Futures Contract: CME Lean Hogs (LN)
Depth: Continuous Futures Contract #2 (LN2)
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: 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: 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.