Futures Database Notes

Chicago Board of Trade

Corn, Wheat, Oats, Soybeans
Volume and open interest figures before Jan 1, 1998 have been adjusted to factor in the change of measurement at that time from bushels to contracts. A pre-1998 figure of 5 (representing 5,000 bushels) has been adjusted to 1 (representing 1 contract).

Treasury Bond Complex (30 year T-Bond, 10-year Note, 5-year Note)
The CBOT Treasury Bond Complex (beginning with the March 2000 contract month) is based on a notional coupon rate of 6%. Previously it was 8%. To account for this change, we have adjusted our price histories for these markets so as to simulate a trading history based on a 6% coupon. In each case, the adjustments have been made using a constant adjustment factor for the entire pre-March 2000 history. These adjustment factors are based on information made available by the CBOT.

The adjustments provide approximate historical price levels for the U.S. Bond complex. Without the adjustments, it is not possible to compare current price levels to historical ones for the markets in question.

Chicago Mercantile Exchange

Lean Hogs
The current Lean Hogs contract (beginning with the February 1997 delivery) replaced the existing Live Hogs contract (which ended with the December 1996 delivery). The old Live Hogs prices have been retained in the database, with their levels adjusted according to the formula provided by the CME.

Kansas City Board of Trade

Wheat
See Corn, Wheat, Oats, Soybeans under CBOT above.

LIFFE

Long Gilt
This contract is currently based on a notional 7% coupon. Prior to the March 1998 contract month, it was based on a 9% coupon. See the notes above for CBOT Treasury Bond Complex.

New York Board of Trade

CRB Index
Beginning with the November 1996 delivery, the delivery cycle for the CRB index changed from {March, May, July, September, December} to {January, February, April, June, August, November}.

The Bridge/CRB Futures Index is a broad index of commodity prices as calculated from prices in the futures market.

First published by Commodity Research Bureau Inc. in 1957, using 28 futures markets and 2 spot markets, the Index has undergone 9 revisions in its composition since then, in an effort to stay relevant. Many other commodity indices are published, but the CRB Index remains the one most quoted.

The last revision in 1995 saw the Index reduced to 17 markets across 6 groups:

Softs - Cocoa, Coffee, Orange Juice, Sugar
Energy - Crude Oil, Heating Oil, Natural Gas
Livestock - Lean Hogs, Live Cattle
Industrials - Copper, Cotton
Precious Metals - Gold, Platinum, Silver
Grains & Oilseed - Corn, Soybeans, Wheat

The Index is calculated by first producing an average price for each market across a number of delivery months (in this way the Index is an average across time as well as across sectors). For instance, the average for Cotton might be the average of the March, May and July delivery month prices. This calculation is based on a minimum of 2 and a maximum of 5 delivery months extending out to a limit of 6 calendar months from the present. Once the arithmetic average for each market is determined, the prices are all multiplied together and then a geometric average for the whole is derived by taking the 17th root. This number is adjusted by the 1967 base year average and further adjusted to account for all revisions since then before being finally converted to a percentage figure.

The NYBOT offers a futures contract on the CRB Index, which in effect is a futures contract based on other commodity futures prices.

Sydney Futures Exchange

Share Price Index (SPI)
Volume and open interest figures for dates before 11th October, 1993 have been adjusted to bring them into line with current contract specifications (multiplied by 4). On that date, the value of a SPI tick was reduced from $100 to $25.

For the SPI 200 contract, DataTools reports 3 versions:

The contract named "SPI 200" which represents trading from 9.50 am to 4.30 pm.on the trade date.
The contract named "SPI 200 C" (all-sessions combined) which represents trading from 5.10 pm (the previous evening) to 4.30 pm. on the trade date.
The contract named "SPI 200 N" (night) which represents trading from 5.10 pm (the previous evening) to 7.00 am on the trade date. (8.00am during non-US daylight savings months).

If a SPI contract fails to trade in the night session, the price fields are filled with the previous days settlement price (in order to avoid reporting zeroes). This indicates that the price has not advanced overnight.

More about the SPI

The SFE's original Share Price Index contract was based on the ASX's All Ordinaries Index. When Standard & Poor's took over the ASX's index business in April 2000, and announced changes to the index structure, the SFE selected the S&P/ASX 200 Index to be the basis for a new Share Price Index futures contract - the SPI 200 (DataTools code YAP).

The original SPI contract (DataTools code YAO) continued to trade side-by-side with the SPI 200, with the final contract listed for trading being the September 2001 delivery. But through December 2000, open interest shifted from the old market to the new, and the December 2000 delivery was the last "old contract" that saw any active trading. At the expiry of this delivery on 29/12/2000, both markets were settling at the same price.

This has enabled us to "seamlessly" construct a market folder for DataTools called "SPI Merged" (and other folders called "SPI Merged C" and "SPI Merged N").

The SPI Merged folders merge the history of the old SPI with the new. Contracts up to and including the December 2000 delivery represent the "old" SPI. Contracts beginning with the March 2001 delivery represent the "new" SPI. 

Merging these individual contract histories into single folders allows the construction of continuous SPI contracts going back to 1983.

The table below summarises the various SPI codes available through DataTools.

Market Name	DataTools Symbol	Description	First All Ords SPI Delivery	First SPI 200 Delivery
SPI 200	YAP	"day" session	n.a	June 2000
SPI 200 C	YAP2	all trading sessions combined	n.a.	June 2000
SPI 200 N	YAP3	"overnight" session	n.a.	June 2000
SPI Merged	SPIM	"day" session	March 1983	March 2001
SPI Merged C	SPIM2	all trading sessions combined	March 1983	March 2001
SPI Merged N	SPIM3	"overnight" session	March 1992	March 2001

Winnepeg Commodity Exchange

Canola
Beginning in 1997, the June delivery month was dropped from the Canola cycle and May and July deliveries were added.

London Bullion

The Gold Fix is a ritual of the London financial district that dates back to 1919. Each day, 5 key market-making members of the London Bullion Market Association meet in the offices of N.M. Rothschild & Sons to buy and sell amounts of 400 troy ounce gold bars.

The fixing process is a type of auction. An initial price is suggested by the chairman. This price is then negotiated up or down towards a final "fixing", which is the price at which all the business of the 5 members and their various clients can be cleared.

The advantage of the fixing system is that a large amount of gold or silver can be traded at a single known price. The London fixes constitute a valuable reference point for the cash market as a whole, which trades almost uninterrupted around the clock and around the globe..

The 3.00 p.m Gold fix was introduced to supplement the a.m fix in 1968. The single daily Silver fixing takes place at midday.

London Metals Exchange