Underlying Futures Contract: ICE Rotterdam Coal (ATW)
Depth: Continuous Futures Contract #1 (ATW1)
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: Calendar Weighted Method. The price gap between consecutive contracts is smoothed by following a weighted-average process. The continuous contract gradually shifts from representing 100% front and 0% back weighting, to 0% front and 100% back weighting, over a period of 5 days. This price adjustment corresponds to a mechanical roll strategy wherein the trader rolls 20% of the position every day, for 4 days before the 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: 1,000 metric tons
Deliverable Good: Contracts are financially settled based upon the price of coal delivered into the Amsterdam, Rotterdam, and Antwerp region in the Netherlands. The contract is cash settled against the API 2 Index published in the Argus/McCloskey Coal Price Index Report.
Tick Size: US dollars and cents per tonne
Pricing Unit: 5 cents per tonne
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.