no11sugar: World Sugar No11 Contract

In louisaslett/durham-Rpkg: Durham University R Package

Description

The data, which can be downloaded from the New York Board of Trade website, www.nybot.com, are daily refined sugar No 11 price quotations in cents per pound for the first five contracts over the period from 3 January 1994 to 2 October 2001.

The dataframe comprises the date, contract expiry month/year (March, May, July, October), contract high price, contract low price, contract closing (settlement) price, contract open interest, contract volume, and two measures of volatility, "implied volatility" and "nearby 30-day historical volatility".

The minimal trading unit, sometimes called a lot, is 112,000 (50 long tons). Contract 1 is referred to as the "nearby contract" and contract 2 the "second nearby contract". "Open interest" refers to the number of uncancelled contracts in the market present at the end of the day. "Contract volume" refers to the number of trades on given day. "Implied volatility" is an assessment of future market activity based partly on average nearby ITM (In The Money), ATM (At The Money) and OTM (Out of The Money) call and put options, while nearby "30-day historical volatility" is the standard deviation of the 30 first differences of the logarithms of closing prices for the previous 31 days of the contract multiplied by the square root of the number of trading days in a year.

There are missing values in some of the columns of the dataframe.

Format

This dataframe contains the following 33 columns:

Date (character)

current date: month/day/year

Contract1 (factor)

expiry date year/month of contract 1

High1

highest quoted price for a pound of sugar for contract 1

Low1

lowest quoted price for a pound of sugar for contract 1

Close1

settlement price for a pound of sugar for contract 1

Interest1

number of uncancelled contracts of contract 1

Volume1

the number of trades of contract 1

Contract2 (factor)

expiry date year/month of contract 2

High2

highest quoted price for a pound of sugar for contract 2

Low2

lowest quoted price for a pound of sugar for contract 2

Close2

settlement price for a pound of sugar for contract 2

Interest2

number of uncancelled contracts of contract 2

Volume2

the number of trades of contract 2

Contract3 (factor)

expiry date year/month of contract 3

High3

highest quoted price for a pound of sugar for contract 3

Low3

lowest quoted price for a pound of sugar for contract 3

Close3

settlement price for a pound of sugar for contract 3

Interest3

number of uncancelled contracts of contract 3

Volume3

the number of trades of contract 3

Contract4 (factor)

expiry date year/month of contract 4

High4

highest quoted price for a pound of sugar for contract 4

Low4

lowest quoted price for a pound of sugar for contract 4

Close4

settlement price for a pound of sugar for contract 4

Interest4

number of uncancelled contracts of contract 4

Volume4

the number of trades of contract 4

Contract5 (factor)

expiry date year/month of contract 5

High5

highest quoted price for a pound of sugar for contract 5

Low5

lowest quoted price for a pound of sugar for contract 5

Close5

settlement price for a pound of sugar for contract 5

Interest5

number of uncancelled contracts of contract 5

Volume5

the number of trades of contract 5

NearbyVolatility

HistoricalVolatility

Source

New York Board of Trade (2002). www.nybot.com.

Examples

data(no11sugar)

louisaslett/durham-Rpkg documentation built on Oct. 20, 2020, 4:29 a.m.