Historical Live Cattle/Feeder Cattle Report - gpvec

What is the CME Index?
The Feeder Cattle contract currently settles by
cash to the CME Feeder Cattle Index. This index is a
seven-day weighted average of United States Department
of Agriculture (USDA) prices from 12 states: Colorado,
Iowa, Kansas, Missouri, Montana, Nebraska, New
Mexico, North Dakota, Oklahoma, South Dakota, Texas,
and Wyoming. This 12-state region produces nearly
two-thirds of the total feeder cattle supply.
This CME index is not a moving average but rather
a weighted average. A moving average assigns the same
importance to each day’s transactions; in other words,
Monday’s sales count the same as those on Tuesday or
any other day of the week. A weighted average assigns
the same importance to the index value for every pound
of feeder steer sold during the previous 7 calendar days,
regardless of when or where it was sold.
Prices for auctions, video sales, direct trades, and
Internet sales included in index calculations can be
obtained at this USDA website:
http://www.ams.usda.gov/LSMNpubs/index.htm
On this site can be found the different locations
included in the index and relevant reports used to
calculate it. The CME Feeder Cattle Index is
calculated according the following procedure:
Total Pounds: (1) For each USDA report, the
number of head that match contract specifications is
multiplied by the corresponding weighted-average
weight to obtain the total pounds of feeder steers sold.
(2) All reports for the current day are aggregated to
obtain the total pounds. (3) The previous six days’
calculations for total pounds of feeder steers are then
added to the current day’s to obtain the total pounds sold
within the 12-state region during that seven-day period.
Total Dollars: (1) For each USDA report, the
number of head that match contract specifications is
multiplied by the corresponding weighted-average
weight, with the resulting product then multiplied by the
corresponding weighted-average price to obtain the total
dollars of feeder steers sold. (2) All reports for the
current day are aggregated to obtain the total dollars.
(3) The previous six days’ calculations for total dollars
are then added to the current day’s to obtain the total
dollars of feeder steers sold within the 12-state region
during that seven-day period.
CME Index Price
CME Feeder Cattle Index
The total dollars within the 12-state region during
that seven-day period is divided by the total pounds of
feeder steers sold in the same region and time period,
yielding the CME index price.
Total Dollars
=CME Index
Total Pounds
To access the daily CME index, visit the CME
web site at http://www.cmegroup.com/ and click on
Market Data, Historical Data, and, lastly, Cash-Settled
Commodity Index Prices.
MOORE RESEARCH CENTER, INC. 41
CME Feeder Cattle Index