Information: Market Information |
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The Reuters/Jeffries 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 10 revisions since then. The latest revision, in 2005, saw the Index expanded to 19 futures markets across 4 groups, with increased weighting attributed to petroleum products:
The sector weightings are as follows -
The NYBOT offers a futures contract on the Reuters/Jeffries CRB Index. It also maintains a contract on the "Continuous Commodity Index", which represents the state of the CRB Index as of its 9th revision in 1995. The CCI futures contract is effectively the "old" CRB Index futures contract. The prices reported in the cash markets folder for London Bullion are the daily Silver Fix (in US cents per troy ounce) and the 3.00 p.m. Gold Fix (in US dollars and cents per troy ounce). 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 Metal Exchange Official Cash Prices The metals prices reported in the cash markets
folder are the prices posted by the LME at the end of the
second morning "Ring" session. There are two morning Ring sessions, the first
beginning at 11.40 and the second at 12.30, during which each metal trades in turn for
five minutes. Only Ring Dealing Members are allowed to participate. The second morning
session is the key event of the trading day, as it gives rise to the official cash and
settlement prices, which set the tone for the market in each metal. The SFE now offers virtual 24-hour trading for most of its contracts. The close of trading occurs in the late afternoon, after which settlement prices are issued. The next day's trading then begins with the "overnight" session. Therefore overnight trading should be regarded as the first leg of the "next" day rather than as a continuation of the "current" day. 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. 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.
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