Underlying Futures Contract: ICE Brent Crude Oil (B)
Depth: Continuous Futures Contract #5 (B5)
Roll Date: Roll on First Day of Delivery Month. Contracts roll on the first day of the delivery month of the expiring or front contract. If the front contract expires before the first day of the deliverty month, then contracts roll on the expiry date instead.
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: 1,000 barrels
Deliverable Good: The ICE Brent Crude futures contract is a deliverable contract based on EFP delivery with an option to cash settle, i.e the ICE Brent Index price for the day following the last trading day of the futures contract.
Tick Size: US dollars and cents
Pricing Unit: one cent per barrel
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.