Underlying Futures Contract: ICE Cotton (CT)
Depth: Continuous Futures Contract #2 (CT2)
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: 50,000 pounds net weight
Deliverable Good: Quality : Strict Low Middling Staple Length: 1 2/32nd inc. Deliverable to: Galveston, TX, Houston, TX, Dallas/Ft. Worth, TS, Memphis, TN and Greenville/Spartanburg, SC.
Tick Size: Cents and hundredths of a cent per pound
Pricing Unit: /100 of a cent (one point) per pound
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.