Underlying Futures Contract: ICE Coffee C (KC)
Depth: Continuous Futures Contract #1 (KC1)
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: 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: 37,500 pounds
Deliverable Good: Mexico, Salvador, Guatemala, Costa Rica, Nicaragua, Kenya, New Guinea, Panama, Tanzania, Uganda, Honduras, and Peru all at par, Colombia at 200 point premium, Burundi, Rwanda, Venezuela and India at 100 point discount, Dominican Republic and Ecuador at 400 point discount, and Brazil at 900 point discount.Effective starting with the May 2016 contract the differential for Colombia will become 400 points premium and the differential for Brazil will become 600 points discount.
Tick Size: Cents and hundredths of a cent up to two decimal places
Pricing Unit: 5/100 cent/lb
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.