Short term futures contracts in Datastream

This year I already published an item on Futures in Datastream and the AEX index Continuous Futures composition. Recently a customer asked me about several short term contracts series for WTI crude oil noted at the NYMEX (New York Mercantile Exchange). WTI is the abbreviation for West Texas Intermediate or Texas Light and it is used as a benchmark in oil pricing. I did some searches in the Data Category Futures in Datastream and could find many series (over 200):

From that list it was not clear to me how I could identify short term contracts that the customer was interested in: 1 Month, 2 Month, 3 Month etc. At the top of the list several Continuous series were shown and I assumed that I might use these to do static searches to download the composition of this aggregated series to get the underlying contracts (including the dead and life short term contracts). Using the method that I told about earlier I tried to do this but this did not work. I got NA (not Avaliable) each time. I also could not immediately find the solution on the Datastream Extranet knowledge website.

In the end I contacted the Thomson Reuters helpdesk. The helpdesk finally helped me identify the short term WTI Futures contracts. I also found out (later) that had also been included in the list I initially found with my first search. Examples of he short term contract codes are:
NCLC.01 = 1 Month
NCLC.02 = 2 Month
NCLC.03 = 3 Month
NCLC.06 = 6 Month
NCLC.12 = 12 Month

Using these codes I could download the prices and volumes traded with the data types PS#S and VM#S, where:

  • PS#S gives the Price without padding for non-trading days
  • VM#S gives traded volume without padding for non-trading day.

Here you see an example search:

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Datastream & Futures Continuous Series

Recently I got the question: what is the maturity date for the Futures continuous series contract of the AEX? According to Wikipedia a Future or Futures contract is: a standardized contract between two parties to buy or sell a specified asset of standardized quantity and quality for a price agreed today (the futures price or strike price) with delivery and payment occurring at a specified future date, the delivery date.
One of the reasons to buy Futures contracts, is to hedge future risks of price increases. For instance, in case of commodity prices like oil, or grain. Futures contracts can be traded on exchanges.

Datastream is a source that offers information on Futures. You can get time series data like price information as well as static information like maturity/delivery dates. The following screen shows you where you can find Futures data in Datastream. The example is a search for the AEX Future contracts:

After clicking the AEX mnemonic (code) ETI a popup appears which lists three types of Futures & Options: Continuous series, Live series, and Dead series. The top option is the Continuous AEX series ETICS00:

Continuous Futures series are defined by Datastream as: a perpetual series of Futures prices, Price Open, Price High, Price Low and Settlement Price. It starts at the nearest contract month, which forms the first values for the continuous series until either the contract reaches its expiry date, or until the first business day  of the actual contract month.  At this point the next trading contract month is taken. Continuous Series can be identified by the mnemonic (code) of the series which includes: CS00 or CT00

If you want to see which contracts made up the Continuous series you can this as follows:

1) Find the series you are interested in.
Example: ETICS00. Where: ETI is AEX en CS stands for Continuous series.

2) Live or Dead lists:

  • Add LFUT infront of the first part, where L is List, FUT is futures, ETI is the (example)class code. Add L at the end for Live. For the live list this example ends up as: LFUTETIL.
  • Add LFUT infront of the first part, where L is List, FUT is futures, ETI is the (example) class code. Add D at the end for Dead. For the dead list this example ends up as: LFUTETID.

A static search will get the Futures contracts for the Continuous series as follows:

In the end the answer to the question of the epiry date for the AEX Futures continuous series is that there is not really an end because the series combines the short term contracts into a long series. More information is available on Continuous Futures series in the Datastream Background document. Regular Futures Contracts usually have specific Expiry dates and starting months. More information is also available through the Futures Guide. In it it is describbed how the Help Browse option will help you find the expiry months for specific exchanges.

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