Underlying Futures Contract: ICE Orange Juice (OJ)
Depth: Continuous Futures Contract #1 (OJ1)
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: 15,000 pounds of orange juice solids (3% or less)
Deliverable Good: The contract prices physical delivery of U.S. Grade A juice (with grading performed by the U.S. Department of Agriculture), in storage in exchange licensed warehouse in several U.S. delivery points. Allowed countries of origin are the U.S., Brazil, Costa Rica and Mexico.
Tick Size: Cents and hundredths of a cent to two decimal places
Pricing Unit: 5/100 of a cent 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.