Understanding Futures Market Data

Multiple Contracts (Delivery Months)

Futures markets consist of individual contract months that trade side by side, each with a unique expiry date.

The first contract is usually called the “spot month” or the “front month”. This is the contract that is due to expire next. The spot month is followed by “deferred” or “back” months.

A list of contracts may look like this:

CBOT Wheat September 2002
CBOT Wheat December 2002
CBOT Wheat March 2003
CBOT Wheat May 2003
etc

As one contract expires, another is added to the end of the list.

All of these contracts trade simultaneously, so to ask “where did Chicago Wheat close?” is an ambiguous question.

Volume

Trading activity (volume) in futures markets tends to be concentrated in the front months, and diminishes as you go out in time (down the list). But this is only a tendency. Different futures markets have different structures and trading patterns. In stock index futures, the spot month is always the key month but, in commodity futures, it can vary. For instance, in the Wheat market there’s always an extra amount of interest in the December contract. This is illustrated in the data table below. On August 1, 2002, the Sep-02 contract is the spot month, and still has several weeks to run before expiry, but trading activity is already concentrated in the Dec-02 contract.

CBOT WHEAT

Open Interest

Another way of assessing the liquidity of a futures contract is by way of the open interest figure. Open interest measures the amount of outstanding (open) positions in a futures contract at any time. As expiry draws near, open interest tends to fall rapidly, as positions are either closed out by traders or submitted for delivery.

Reporting of Volume & Open Interest

Open interest figures are invariably reported by futures exchanges with a day’s delay. This means that you get “yesterday’s” open interest with “today’s” prices.

Volume figures also used to be reported with a day’s delay, but this situation has changed as open outcry trading has been steadily supplanted by electronic trading. Most exchanges now publish “same-day” volumes, although in some cases the figures are rounded estimates. Generally speaking, electronic-only exchanges report same-day volumes, whereas exchanges that still retain a trading floor provide volume estimates or report volume with a day’s delay.

For more information about each exchange and how they report Volume & Open Interest see the Futures Coverage Notes.

Price Quote Format

In the data table above, you can that the CBOT Wheat is quoted with a “carat” character (^). This signifies that the quote is not in decimals.

CBOT Wheat is quoted in cents and eighths per bushel. A price quote of 334^6 means: “334 and 6/8ths cents”. The minimum price fluctuation for CBOT Wheat is 2/8ths of a cent (as it is for Corn, Oats and Soybeans).

Prices for the CBOT Bond complex are also quoted with a carat.

The 30-year Treasury Bonds and 10-year Treasury Notes trade in basis points and 32nds and half 32nds, while the 5-year Treasury Notes trade in quarter-32nds. With the 5-year Notes, the convention is to indicate quarter ticks by ending the quote with either “2” or a “7” (rather than a “25” or “75”). The quote format for Bonds is detailed below:

Closing Price (Settlement Price)

If you refer to the Wheat price table above, you can see that a closing price is reported for July 04 Wheat, even though there was zero volume on the day. The previous closing price for July 04 Wheat was 326^0. How could July 04 Wheat close up 4 cents without any trading being done?

The answer is that the closing price is actually something called the “settlement price”. All futures trading is done on margin, and each day a Clearing House issues a settlement price for each futures contract. The Clearing House needs to know who’s winning and who’s losing and by how much. If a contract hasn’t traded on a day, the settlement price represents a “best guess” of where it would have traded had it traded at the settlement time. The added complication here is that for some contracts on some exchanges settlement time takes place before trading actually ends for the day.

The closing price published in DataTools is almost without exception the settlement price. The settlement price may happen to be the same as the last traded price, but not necessarily so (the last trade may have occurred hours before market close). At any rate, the settlement price is what matters to futures traders, as this is the price by which open positions are “marked to market”.

For some European futures contracts that close well after settlement time, DataTools provides alternative versions of the prices where the last traded price is in the close field. These alternative versions are distinguished by the market name having an “L” suffix, where the L stands for Last. eg: "DAX L", "German Bund L".