Underlying Futures Contract: ICE Coffee C (KC)
Depth: Continuous Futures Contract #2 (KC2)
Roll Date: Roll on Last Trading Day. Contracts roll on the last trading day of the expiring or front contract. Thus the continuous contract history is a non-overlapping end-to-end concatenation of underlying individual contracts, spliced on successive expiry dates.
Price Adjustment: Backwards Ratio Method. Price histories of each underlying contract are multiplied by a constant amount, starting with the newest contract and working backwards, so as to eliminate jumps in price between consecutive contracts. Note that in this method, the entire contract history is recalculated on every 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.