Underlying Futures Contract: ICE WTI Crude Oil (T)
Depth: Continuous Futures Contract #1 (T1)
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: 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: 1,000 barrels
Deliverable Good: The West Texas Intermediate Light Sweet Crude Oil futures contract is cash settled against the prevailing market price for US light sweet crude. It is a price in USD per barrel equal to the penultimate settlement price for WTI crude futures as made public by NYMEX for the month of production per 2005 ISDA Commodity Definitions.
Tick Size: US dollars and cents
Pricing Unit: one cent per barrel
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.