Underlying Futures Contract: ICE Cocoa (CC)
Depth: Continuous Futures Contract #1 (CC1)
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: 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: 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.