Underlying Futures Contract: NYMEX Natural Gas (Henry Hub) (NG)
Depth: Continuous Futures Contract #8 (NG8)
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 Ratio Method. Price histories of each underlying contract are multiplied 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: 10,000 million British thermal units (mmBtu).
Deliverable Good: Natural Gas meeting the specifications set forth in the FERC-approved tariff of Sabine Pipe Line Company as then in effect at the time of delivery shall be deliverable in satisfaction of futures contract delivery obligations.
Tick Size: $0.001 per MMBtu
Pricing Unit: U.S. dollars and cents per mmBtu.
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.