Underlying Futures Contract: ICE UK Natural Gas (M)
Depth: Continuous Futures Contract #1 (M1)
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: 1,000 therms per day per period
Deliverable Good: Matching Acquiring and Disposing Trade Nominations (buyer from ICEU, seller to ICEU) are input by buyer and seller to National Grid via Gemini before 18:30 on the business day prior to the commencement of the delivery period. Delivery takes place in kilowatt-hours (29.3071 kilowatt hours per therm).
Tick Size: Sterling and pence per therm
Pricing Unit: 5000 therms per day
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.