Underlying Futures Contract: ICE Cocoa (CC)
Depth: Continuous Futures Contract #1 (CC1)
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: 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: 10 metric tons
Deliverable Good: The growth of any country or clime, including new or yet unknown growths. Growths are divided into three classifications. Group A-Deliverable at a premium of $160/ton (including main crops of Ghana, Lome, Nigeria, Ivory Coast and Sierra Leone). Group B-Deliverable at a premium of $80/ton (includes Bahia, Arriba, Venezuela,Sanchez among others). Group C-Deliverable at par (includes Haiti, Malaysia and all others).Commencing with the July 2015 expiry, the growths of Peru and Colombia will be included in Group B.
Tick Size: Dollars per metric tons
Pricing Unit: Dollar per metric ton
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.