Underlying Futures Contract: CBOT Soybeans (S)
Depth: Continuous Futures Contract #2 (S2)
Roll Date: Roll on Last Trading Day. Contracts roll on the last trading day of the expiring or front contract. Thus the continuous contract history is a non-overlapping end-to-end concatenation of underlying individual contracts, spliced on successive expiry dates.
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: 5,000 bushels (~136 metric tons)
Deliverable Good: #2 Yellow at contract price, #1 Yellow at a 6 cent/bushel premium, #3 Yellow at a 6 cent/bushel discount
Tick Size: 1/4 of one cent per bushel ($12.50 per contract)
Pricing Unit: Cents per bushel
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.