Published April 13, 2021 | Version 1.0.
Dataset Open

Daily historical price ranges of Wheat, Corn and Oats futures

Creators

  • 1. University of Basel

Description

The dataset contains daily price ranges calculated from the daily high and low prices for Chicago Wheat, Corn, and Oats futures  contracts, starting in 1877. The data is manually extracted from the ``Annual Reports of the Trade and Commerce of Chicago'' (today, the Chicago Board of Trade, CBOT, which is part of the CME group).

The price range is calculated as Ranget = ln(Ht) - ln(Lt), where Ht and Lt are the highest and lowest price observed on trading day t.

Description of the dataset:

 

 

  • Date: The trading day, format dd-mm-yyyy
  • Range_W_F1: Price range Wheat futures, First expiration (nearby contract)
  • Range_W_F2: Price range Wheat futures, Second expiration
  • Range_C_F1: Price range Corn futures, First expiration (nearby contract)
  • Range_C_F2: Price range Corn futures, Second expiration
  • Range_O_F1: Price range Oats futures, First expiration (nearby contract)
  • Range_O_F2: Price range Oats futures, Second expiration

Files

rangedata_commodities_since1877.csv

Files (3.2 MB)

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md5:a33aafb69464f517f7d0af00ac14d75f
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Additional details

Funding

Swiss National Science Foundation
Volatility in early commodity markets 100018_172681