Underlying Futures Contract: CBOT Rough Rice (RR)
Depth: Continuous Futures Contract #1 (RR1)
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: 2000 hundredweights (CWT) (91 Metric Tons)
Deliverable Good: U.S. No. 2 or better long grain rough rice with a total milling yield of not less than 65% including head rice of not less than 48%. Premiums and discounts are provided for each percent of head rice over or below 55%, and for each percent of broken rice over or below 15%. No heat-damaged kernels are permitted in a 500-gram sample and no stained kernels are permitted in a 500-gram sample. A maximum of 75 lightly discolored kernels are permitted in a 500-gram sample.
Tick Size: 1/2 cent per hundredweight ($10.00 per contract)
Pricing Unit: US cents per hundredweight
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.