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:
CME Group Wheat 2008U (September)
CME Group Wheat 2008Z (December)
CME Group Wheat 2009H (March)
CME Group Wheat 2009K (May)
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.
Futures contract months are represented throughout the industry by the standard symbols shown below -
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.
CME Group WHEAT
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 see that the CME Group Wheat is quoted
with a “carat” character (^). This signifies that the
quote is not in decimals.
CME Group 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 CME Group Wheat is 2/8ths of a cent (as it is for
Corn, Oats and Soybeans).
Prices for the CME Group 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:
|5-Year Treasury Notes
||109 and 18 and 3 quarter 32nds
(or 109 and 75 128ths)
|10-Year Treasury Notes
||112 and 29 and a half 32nds
(or 112 and 59 64ths)
|U.S. Treasury Bonds
||112 and 16 and a half 32nds
(or 112 and 33 64ths)
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
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
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
Settlement Days & Holidays
Generally speaking, exchange holidays are non-Settlement Days (settlement prices are not issued for the day and any
trades done "overnight" before the holiday are attributed to the next Settlement Day).
In this situation, no data is provided for the holiday.
However, there are some exceptions to this general rule, as detailed below:
Australian Securities Exchange (ex-SFE) - in 2004, the exchange began a policy of issuing settlement prices for those holidays where the
market is open for overnight trading before the holiday. This explains why the "day-only" versions of ASX contracts may have a
single price point for a holiday. The corresponding "all-sessions combined" versions may even have a price range and volume for
the same holiday (representing trades done overnight). In either case, the "close" is the official settlement price for the day.
CME Group - as electronic trading continues to "creep" over into holidays, the exchange has begun to issue settlement
prices for some markets on some holidays (e.g. Columbus Day, Veterans Day).