Background on Leading Delivery Month Tables

This is a table of the % of a particular day's contract volume in each 
delivery for 12 trading months out. The day's date is given next to each
commodity symbol. From the table one can deduce the delivery month with 
the greatest % of the contract volume i.e. the leading delivery.

The table is updated every night around 10 pm. 

For most CBOT and CME commodities we use LDB (Liquidity Data Bank) volume 
since it is available on the day of trading. For these commodities the
contract volumes percentages are for the latest day and so the leading
delivery can be deduced for the latest trading day.

For the other commodities we use exchange contract volume that is available 
at about 10am the following morning. These commodities have an asterisk next 
to the date. For these commodities the contract volume is for the previous
trading day and so the leading delivery is deduced a day behind.

Being behind by one day in determining the leading delivery can be
disastrous for some commodities. Luckily these commodities viz. CME
currencies, S&P and CBOT financials have LDB contract volume data
available and one can deduce the change in leading delivery for the
latest trading day.

The percentages have round-off error and will not sum exactly to 100%
especially for commodities like the eurodollar that trade 10 years out.

Click here for Leading Delivery Table