Underlying Futures Contract: ICE Coffee C (KC)
Depth: Continuous Futures Contract #1 (KC1)
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: 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: 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.